Conditional independence models for seemingly unrelated regressions with incomplete data
We consider normal [reverse not equivalent] Gaussian seemingly unrelated regressions (SUR) with incomplete data (ID). Imposing a natural minimal set of conditional independence constraints, we find a restricted SUR/ID model whose likelihood function and parameter space factor into the product of the likelihood functions and the parameter spaces of standard complete data multivariate analysis of variance models. Hence, the restricted model has a unimodal likelihood and permits explicit likelihood inference. In the development of our methodology, we review and extend existing results for complete data SUR models and the multivariate ID problem.
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.
Volume (Year): 97 (2006)
Issue (Month): 2 (February)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
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.:
- Andersson, S. A. & Perlman, M. D., 1995. "Testing Lattice Conditional Independence Models," Journal of Multivariate Analysis, Elsevier, vol. 53(1), pages 18-38, April.
- Oksanen, E. H., 1987. "A note on seemingly unrelated regression equations with residual vectors as explanatory variables," Statistics & Probability Letters, Elsevier, vol. 6(2), pages 103-105, November.
- Swamy, P. A. V. B. & Mehta, J. S., 1975. "On Bayesian estimation of seemingly unrelated regressions when some observations are missing," Journal of Econometrics, Elsevier, vol. 3(2), pages 157-169, May.
- Andersson, Steen A. & Perlman, Michael D., 1991. "Lattice-ordered conditional independence models for missing data," Statistics & Probability Letters, Elsevier, vol. 12(6), pages 465-486, December.
- Schmidt, Peter, 1977. "Estimation of seemingly unrelated regressions with unequal numbers of observations," Journal of Econometrics, Elsevier, vol. 5(3), pages 365-377, May.
- Mathias Drton, 2004. "Multimodality of the likelihood in the bivariate seemingly unrelated regressions model," Biometrika, Biometrika Trust, vol. 91(2), pages 383-392, June.
- Hwang, Hae-shin, 1990. "Estimation of a Linear SUR Model with Unequal Numbers of Observations," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 510-15, August.
- Andersson, Steen A. & Perlman, Michael D., 1998. "Normal Linear Regression Models With Recursive Graphical Markov Structure," Journal of Multivariate Analysis, Elsevier, vol. 66(2), pages 133-187, August.
- Steel, M. A. & Wood, G. R., 1993. "On a problem of Andersson and Perlman," Statistics & Probability Letters, Elsevier, vol. 18(5), pages 381-382, December.
- S. Illeris & G. Akehurst, 2002. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 22(1), pages 1-3, January.
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:97:y:2006:i:2:p:385-411. 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: (Shamier, Wendy)
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.