Nonparametric seemingly unrelated regression
AbstractThis paper presnets a method for simultaneously estimating a system of nonparametric multiple regressions which may seem unrelated, but where the errors are potentially correlated between equations. We show that the prime advantage of estimating such a 'seemingly unrelated' system of nonparametric regressions is that substantially less observations can be required to obtain reliable functions estimates than if each of the regression equations was estimated separately and the correlation ignored.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 98 (2000)
Issue (Month): 2 (October)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Smith, M. & Kohn, R., 1998. "Nonparametric Seemingly Unrelated Regression," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 7/98, Monash University, Department of Econometrics and Business Statistics.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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