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Inconsistencies in SURE Models: Computational Aspects

Author

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  • Erricos J. Kontoghiorghes

Abstract

The solution of the SURE model with singular variance-covariance matrix results in redundancies and possibly inconsistencies among the observations of the model. A numerical procedure is proposed and investigated that generates a consistent model from an inconsistent one. The use of SVD has been used to compute the various factorizations arising in the solution of the SURE model when treated as a generalized linear least squares problem.

Suggested Citation

  • Erricos J. Kontoghiorghes, 2000. "Inconsistencies in SURE Models: Computational Aspects," Computational Economics, Springer;Society for Computational Economics, vol. 16(1/2), pages 63-70, October.
    • Handle: RePEc:kap:compec:v:16:y:2000:i:1/2:p:63-70
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    Cited by:

    1. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5, July-Dece.
    2. Paolo, Foschi, 2005. "Estimating regressions and seemingly unrelated regressions with error component disturbances," MPRA Paper 1424, University Library of Munich, Germany, revised 07 Sep 2006.

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