Estimation of high-dimensional seemingly unrelated regression models
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feasible graphical Lasso estimatorgraphical Lassohigh-dimensional matrix estimationprecision matrixseemingly unrelated regression
Computational methods for problems pertaining to statistics (62-08) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of statistics to economics (62P20)
Abstract: In this paper, we investigate seemingly unrelated regression (SUR) models that allow the number of equations (N) to be large, and to be comparable to the number of the observations in each equation (T). It is well known in the literature that the conventional SUR estimator, for example, the generalized least squares (GLS) estimator of Zellner (1962) does not perform well. As the main contribution of the paper, we propose a new feasible GLS estimator called the feasible graphical lasso (FGLasso) estimator. For a feasible implementation of the GLS estimator, we use the graphical lasso estimation of the precision matrix (the inverse of the covariance matrix of the equation system errors) assuming that the underlying unknown precision matrix is sparse. We derive asymptotic theories of the new estimator and investigate its finite sample properties via Monte-Carlo simulations.
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Cited in
(13)- Regularized parameter estimation of high dimensional distribution
- Generalized canonical correlation variables improved estimation in high dimensional seemingly unrelated regression models
- Sparse seemingly unrelated regression modelling: applications in finance and econometrics
- A novel approach for estimating seemingly unrelated regressions with high-order autoregressive disturbances
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