On the median regression for SURE models with applications to 3-generation immigrants data in Sweden
In this paper we generalize the median regression method to be applicable to system of regression equations, in particular SURE models. Giving the existence of proper system wise medians of the residuals from different equations, we apply the weighted median regression with the weights obtained from the covariance matrix of the equations obtained from ordinary SURE method. The benefit of this model in our case is that the SURE estimators utilise the information present in the cross regression (or equations) error correlation and hence more efficient than other estimation methods like the OLS method. The Seemingly Unrelated Median Regression Equations (SUMRE) models produce results that are more robust than the usual SURE or single equations OLS estimation when the distributions of the dependent variables are not normally distributed or the data are associated with outliers. Moreover, the results are also more efficient than is the cases of single equations median regressions when the residuals from the different equations are correlated. A theorem is derived and indicates that even if there is no statistically significant correlation between the equations, using SUMRE model instead of SURE models will not damage the estimation of parameters.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
When requesting a correction, please mention this item's handle: RePEc:eee:ecmode:v:28:y:2011:i:6:p:2566-2578. 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: (Zhang, Lei)
If references are entirely missing, you can add them using this form.