Advanced Search
MyIDEAS: Login to save this paper or follow this series

Median Regression for SUR Models with the Same Explanatory Varia

Contents:

Author Info

  • Shukur, Ghazi

    ()
    (Jönköping International Business School)

  • Zeebari, Zangin

    ()
    (Jönköping International Business School)

Registered author(s):

    Abstract

    In this paper we introduce an interesting feature of the Generalized Least Absolute Deviations (GLAD) method for Seemingly Unrelated Regression Equations (SURE) models. Contrary to the collapse of Generalized Least Squares (GLS) parameter estimations of SURE models to the Ordinary Least Squares (OLS) estimations of the individual equations when the same regressors are common between all equations, the estimations of the proposed methodology are not identical to the Least Absolute Deviations (LAD) estimations of the individual equations. This is important since contrary to the least squares methods, one can take advantage of efficiency gain due to cross-equation correlations even if the system includes the same regressors in each equation. This kind of methodology is useful say when estimating the factors that affect firms’ innovation investments across European countries.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: https://static.sys.kth.se/itm/wp/cesis/cesiswp258.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies in its series Working Paper Series in Economics and Institutions of Innovation with number 258.

    as in new window
    Length: 20 pages
    Date of creation: 18 Oct 2011
    Date of revision:
    Handle: RePEc:hhs:cesisp:0258

    Contact details of provider:
    Postal: CESIS - Centre of Excellence for Science and Innovation Studies, Royal Institute of Technology, SE-100 44 Stockholm, Sweden
    Phone: +46 8 790 95 63
    Web page: http://www.infra.kth.se/cesis/
    More information through EDIRC

    Related research

    Keywords: Median Regression; Robustness; Efficiency; SURE Models; Innovation Investment;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. 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, vol. 68(2), pages 339-360, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:hhs:cesisp:0258. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Vardan Hovsepyan).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.