Robust estimation of the SUR model

DOI10.2307/3315978zbMATH Open0981.62065OpenAlexW2069998832MaRDI QIDQ4521136FDOQ4521136

Authors: Martin Bilodeau, P. Duchesne 

Publication date: 27 March 2002

Published in: The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/887e925dfdf7dacddb730ca0ed40471f9a8e2654

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zbMATH Keywords

robustnessseemingly unrelated regressionS-estimators

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Diagnostics, and linear inference and regression (62J20) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
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• Investment Demand: An Empirical Contribution to the Aggregation Problem
• High Breakdown-Point Estimates of Regression by Means of the Minimization of an Efficient Scale
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• Robustness and efficiency properties of scatter matrices
• On the distributions of some test criteria for a covariance matrix under local alternatives and bootstrap approximations
• M Estimation of Multivariate Regressions
• Tests for the independence between two seemingly unrelated regression equations
• Multivariate τ-Estimators for Location and Scatter
• Fourier smoother and additive models

Cited In (13)

• A non-iteration Bayesian sampling algorithm for robust seemingly unrelated regression \(\text{models}^*\)
• The multivariate least-trimmed squares estimator
• Robust Eligible Own Funds and Value at Risk Under Solvency II System
• \(S\)-estimation of nonlinear regression models with dependent and heterogeneous observations
• Robust inference for seemingly unrelated regression models
• REDUNDANCY OF MOMENT CONDITIONS AND THE EFFICIENCY OF OLS IN SUR MODELS
• Robust estimation for the multivariate linear model based on a \(\tau\)-scale
• Robust estimation for vector autoregressive models
• Robust Bayesian seemingly unrelated regression model
• Estimates of MM type for the multivariate linear model
• On robust testing for conditional heteroscedasticity in time series models
• Application of M-Estimators to Cross-Section Effect Models
• APPLIED REGRESSION ANALYSIS BIBLIOGRAPHY UPDATE 2000–2001

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