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Nonparametric seemingly unrelated regression

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  • Smith, Michael
  • Kohn, Robert

Abstract

This 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 Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 98 (2000)
Issue (Month): 2 (October)
Pages: 257-281

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Handle: RePEc:eee:econom:v:98:y:2000:i:2:p:257-281

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Smith, M. & Kohn, R., . "Nonparametric Regression using Bayesian Variable Selection," Statistics Working Paper _009, Australian Graduate School of Management.
  2. Smith, Michael, 2000. "Modeling and Short-term Forecasting of New South Wales Electricity System Load," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 18(4), pages 465-78, October.
  3. Neil Shephard & Michael K Pitt, 1998. "Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion," Economics Series Working Papers 1998-W05, University of Oxford, Department of Economics.
  4. Min, Chung-ki & Zellner, Arnold, 1993. "Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates," Journal of Econometrics, Elsevier, Elsevier, vol. 56(1-2), pages 89-118, March.
  5. Chib, Siddhartha & Greenberg, Edward, 1995. "Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models," Journal of Econometrics, Elsevier, Elsevier, vol. 68(2), pages 339-360, August.
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Citations

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Cited by:
  1. Wang, Hao, 2010. "Sparse seemingly unrelated regression modelling: Applications in finance and econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2866-2877, November.
  2. Anthony D. Hall & S. Hwang & Steve Satchell, 2000. "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 31, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan, 2003. "An algorithm to estimate time-varying parameter SURE models under different types of restriction," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 363-383, March.
  4. Bin Zhou & Qinfeng Xu & Jinhong You, 2011. "Efficient estimation for error component seemingly unrelated nonparametric regression models," Metrika, Springer, vol. 73(1), pages 121-138, January.
  5. Xu, Qinfeng & You, Jinhong & Zhou, Bin, 2008. "Seemingly unrelated nonparametric models with positive correlation and constrained error variances," Economics Letters, Elsevier, vol. 99(2), pages 223-227, May.
  6. Griffiths, W.E., 2001. "Bayesian Inference in the Seemingly Unrelated Regressions Models," Department of Economics - Working Papers Series, The University of Melbourne 793, The University of Melbourne.
  7. De Gooijer, Jan G. & Ray, Bonnie K., 2003. "Modeling vector nonlinear time series using POLYMARS," Computational Statistics & Data Analysis, Elsevier, vol. 42(1-2), pages 73-90, February.
  8. Ericsson, Johan & Karlsson, Sune, 2003. "Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach," Working Paper Series in Economics and Finance 524, Stockholm School of Economics, revised 12 Feb 2004.
  9. Panagiotelis, Anastasios & Smith, Michael, 2008. "Bayesian identification, selection and estimation of semiparametric functions in high-dimensional additive models," Journal of Econometrics, Elsevier, Elsevier, vol. 143(2), pages 291-316, April.
  10. Stephen Satchell & Soosung Hwang & Anthony Hall, 1999. "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models," Working Papers, Warwick Business School, Finance Group wp99-01, Warwick Business School, Finance Group.
  11. Martins-Filho, Carlos & Yao, Feng, 2009. "Nonparametric regression estimation with general parametric error covariance," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 309-333, March.
  12. W.E. Griffiths & Ma. Rebecca Valenzuela, 2004. "Gibbs Samplers for a Set of Seemingly Unrelated Regressions," Department of Economics - Working Papers Series, The University of Melbourne 912, The University of Melbourne.
  13. Rosen, Ori & Thompson, Wesley K., 2009. "A Bayesian regression model for multivariate functional data," Computational Statistics & Data Analysis, Elsevier, vol. 53(11), pages 3773-3786, September.
  14. Sune Karlsson & Tor Jacobson, 2004. "Finding good predictors for inflation: a Bayesian model averaging approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(7), pages 479-496.
  15. Dale J. Poirier & Gary Koop & Justin Tobias, 2005. "Semiparametric Bayesian inference in multiple equation models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 20(6), pages 723-747.
  16. Zellner, Arnold & Ando, Tomohiro, 2010. "A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model," Journal of Econometrics, Elsevier, Elsevier, vol. 159(1), pages 33-45, November.

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