IDEAS home Printed from https://ideas.repec.org/p/hhs/huiwps/0043.html
   My bibliography  Save this paper

Modified Ridge Parameters for Seemingly Unrelated Regression Model

Author

Listed:
  • Zeebari, Zangin

    (Departments of Economics and Statistics)

  • Shukur, Ghazi

    (Departments of Economics and Statistics)

  • Kibria, B. M. Golam

    (Florida International University)

Abstract

In this paper, we modify a number of new biased estimators of seemingly unrelated regression (SUR) parameters which are developed by Alkhamisi and Shukur (2008), AS, when the explanatory variables are affected by multicollinearity. Nine ridge parameters have been modified and compared in terms of the trace mean squared error (TMSE) and (PR) criterion. The results from this extended study are the also compared with those founded by AS. A simulation study has been conducted to compare the performance of the modified ridge parameters. The results showed that under certain conditions the performance of the multivariate ridge regression estimators based on SUR ridge RMSmax is superior to other estimators in terms of TMSE and PR criterion. In large samples and when the collinearity between the explanatory variables is not high the unbiased SUR, estimator produces a smaller TMSEs.

Suggested Citation

  • Zeebari, Zangin & Shukur, Ghazi & Kibria, B. M. Golam, 2010. "Modified Ridge Parameters for Seemingly Unrelated Regression Model," HUI Working Papers 43, HUI Research.
    • Handle: RePEc:hhs:huiwps:0043
    as

    Download full text from publisher

    File URL: http://www.hui.se/MediaBinaryLoader.axd?MediaArchive_FileID=f72e39de-9c56-415c-aedb-03435a1647ec&MediaArchive_ForceDownload=true
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Vinod, Hrishikesh D, 1978. "A Survey of Ridge Regression and Related Techniques for Improvements over Ordinary Least Squares," The Review of Economics and Statistics, MIT Press, vol. 60(1), pages 121-131, February.
    2. 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.
    3. Denzil Fiebig & Jae Kim, 2000. "Estimation and inference in sur models when the number of equations is large," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 105-130.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Alkhamisi, M.A. & Shukur, Ghazi, 2007. "Developing Ridge Parameters for SUR Models," Working Paper Series in Economics and Institutions of Innovation 80, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
    2. Griffiths, W.E., 2001. "Bayesian Inference in the Seemingly Unrelated Regressions Models," Department of Economics - Working Papers Series 793, The University of Melbourne.
    3. García, Irene & Huo, Stella & Prado, Raquel & Bravo, Lelys, 2020. "Dynamic Bayesian temporal modeling and forecasting of short-term wind measurements," Renewable Energy, Elsevier, vol. 161(C), pages 55-64.
    4. Gary Koop & Dimitris Korobilis, 2019. "Forecasting with High‐Dimensional Panel VARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(5), pages 937-959, October.
    5. Troske, Kenneth R. & Voicu, Alexandru, 2010. "Joint estimation of sequential labor force participation and fertility decisions using Markov chain Monte Carlo techniques," Labour Economics, Elsevier, vol. 17(1), pages 150-169, January.
    6. Zangin Zeebari & Ghazi Shukur, 2023. "On The Least Absolute Deviations Method for Ridge Estimation of Sure Models," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 52(14), pages 4773-4791, July.
    7. Kelvin Balcombe & Hristos Doucouliagos & Iain Fraser, 2007. "Input usage, output mix and industry deregulation: an analysis of the Australian dairy manufacturing industry ," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 51(2), pages 137-156, June.
    8. Fabio Canova & Matteo Ciccarelli, 2002. "Panel Index Var Models: Specification, Estimation, Testing And Leading Indicators," Working Papers. Serie AD 2002-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    9. Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June.
    10. Antonio Pesce, 2013. "Is Decoupling in action?," ERSA conference papers ersa13p1252, European Regional Science Association.
    11. Ishmael Ackah, 2014. "Determinants of natural gas demand in Ghana," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 38(3), pages 272-295, September.
    12. Ho-Chuan Huang, 2001. "Bayesian analysis of the SUR Tobit model," Applied Economics Letters, Taylor & Francis Journals, vol. 8(9), pages 617-622.
    13. Nandram, Balgobin & Zelterman, Daniel, 2007. "Computational Bayesian inference for estimating the size of a finite population," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2934-2945, March.
    14. Cambra-Fierro, Jesús & Polo-Redondo, Yolanda & Trifu, Andreea, 2021. "Short-term and long-term effects of touchpoints on customer perceptions," Journal of Retailing and Consumer Services, Elsevier, vol. 61(C).
    15. van Heerde, Harald J. & Dinner, Isaac M. & Neslin, Scott A., 2019. "Engaging the unengaged customer: The value of a retailer mobile app," International Journal of Research in Marketing, Elsevier, vol. 36(3), pages 420-438.
    16. 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.
    17. Fabio Canova & Matteo Ciccarelli, 2009. "Estimating Multicountry Var Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 929-959, August.
    18. Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
    19. Gallizo, José Luis & Jiménez, Fernando & Salvador, Manuel, 2002. "Adjusting financial ratios: a Bayesian analysis of the Spanish manufacturing sector," Omega, Elsevier, vol. 30(3), pages 185-195, June.
    20. Siddhartha Chib & Minchul Shin & Fei Tan, 2023. "DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 69-111, January.

    More about this item

    Keywords

    Multicollinearity; modified SUR ridge regression; Monte Carlo simulations; TMSE;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:huiwps:0043. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Hans Seerar Westerberg (email available below). General contact details of provider: https://edirc.repec.org/data/huistse.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.