Robust estimation of the SUR model

DOI10.2307/3315978MaRDI QIDQ4521136zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 193897 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• 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
• Fourier smoother and additive models
• High Breakdown-Point Estimates of Regression by Means of the Minimization of an Efficient Scale
• Investment Demand: An Empirical Contribution to the Aggregation Problem
• M Estimation of Multivariate Regressions
• Multivariate τ-Estimators for Location and Scatter
• On the distributions of some test criteria for a covariance matrix under local alternatives and bootstrap approximations
• Robustness and efficiency properties of scatter matrices
• Tests for the independence between two seemingly unrelated regression equations

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
• Robust estimation for the multivariate linear model based on a \(\tau\)-scale
• REDUNDANCY OF MOMENT CONDITIONS AND THE EFFICIENCY OF OLS IN SUR MODELS
• 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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