Computing 3SLS solutions of simultaneous equation models with a possible singular variance-covariance matrix

DOI10.1023/A:1008617207791MaRDI QIDQ1366840zbMATH OpenOpenAlexFDO

Authors Elias Dinenis, Erricos J. Kontoghiorghes

Publication date 16 August 1998

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1008617207791

zbMATH Keywords

matrix factorizationsQR decompositionsimultaneous equation modelthree-stage least squares estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Probabilistic methods, stochastic differential equations (65C99) Parallel numerical computation (65Y05) Statistical methods; economic indices and measures (91B82)

Recommendations

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Cited in

(8)

• Computational methods for modifying seemingly unrelated regressions models.
• Computationally efficient methods for estimating the updated-observations SUR models
• A recursive three-stage least squares method for large-scale systems of simultaneous equations
• Paring 3SLS calculations down to manageable proportions
• Inconsistencies in SURE models: Computational aspects
• An efficient branch-and-bound strategy for subset vector autoregressive model selection
• Estimating seemingly unrelated regression models with vector autoregressive disturbances
• A comparative study of algorithms for solving seemingly unrelated regressions models

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