IDEAS home Printed from https://ideas.repec.org/a/taf/japsta/v39y2012i8p1765-1779.html
   My bibliography  Save this article

Median regression for SUR models with the same explanatory variables in each equation

Author

Listed:
  • Ghazi Shukur
  • Zangin Zeebari

Abstract

In this paper we introduce an interesting feature of the generalized least absolute deviations method for seemingly unrelated regression equations (SURE) models. Contrary to the collapse of generalized leasts-quares parameter estimations of SURE models to the ordinary least-squares 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 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.

Suggested Citation

  • Ghazi Shukur & Zangin Zeebari, 2012. "Median regression for SUR models with the same explanatory variables in each equation," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(8), pages 1765-1779, April.
    • Handle: RePEc:taf:japsta:v:39:y:2012:i:8:p:1765-1779
    DOI: 10.1080/02664763.2012.682566
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/02664763.2012.682566
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/02664763.2012.682566?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    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.
    2. Shukur, Ghazi & Zeebari, Zangin, 2011. "On the median regression for SURE models with applications to 3-generation immigrants data in Sweden," Economic Modelling, Elsevier, vol. 28(6), pages 2566-2578.
    3. Adelchi Azzalini & Antonella Capitanio, 2003. "Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t‐distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 367-389, May.
    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. 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.
    2. Shukur, Ghazi & Zeebari, Zangin, 2011. "Median Regression for SUR Models with the Same Explanatory Varia," Working Paper Series in Economics and Institutions of Innovation 258, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
    3. Shukur, Ghazi & Zeebari, Zangin, 2011. "On the median regression for SURE models with applications to 3-generation immigrants data in Sweden," Economic Modelling, Elsevier, vol. 28(6), pages 2566-2578.
    4. 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.
    5. 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.
    6. Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2016. "Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution," International Journal of Forecasting, Elsevier, vol. 32(2), pages 437-457.
    7. Jorge E. Galán & María Rodríguez Moreno, 2020. "At-risk measures and financial stability," Financial Stability Review, Banco de España, issue Autumn.
    8. Chen, Qihao & Huang, Zhuo & Liang, Fang, 2023. "Measuring systemic risk with high-frequency data: A realized GARCH approach," Finance Research Letters, Elsevier, vol. 54(C).
    9. Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
    10. 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.
    11. Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2012. "Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions," Computational Statistics & Data Analysis, Elsevier, vol. 56(3), pages 732-740.
    12. Isaac E. Cortés & Osvaldo Venegas & Héctor W. Gómez, 2022. "A Symmetric/Asymmetric Bimodal Extension Based on the Logistic Distribution: Properties, Simulation and Applications," Mathematics, MDPI, vol. 10(12), pages 1-17, June.
    13. Toshihiro Abe & Arthur Pewsey, 2011. "Sine-skewed circular distributions," Statistical Papers, Springer, vol. 52(3), pages 683-707, August.
    14. James Mitchell & Aubrey Poon & Dan Zhu, 2022. "Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics," Working Papers 22-12R, Federal Reserve Bank of Cleveland, revised 11 Apr 2023.
    15. Panagiotelis, Anastasios & Smith, Michael, 2010. "Bayesian skew selection for multivariate models," Computational Statistics & Data Analysis, Elsevier, vol. 54(7), pages 1824-1839, July.
    16. 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.
    17. Xu, Wenjing & Pan, Qing & Gastwirth, Joseph L., 2014. "Cox proportional hazards models with frailty for negatively correlated employment processes," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 295-307.
    18. Mitchell, James & Weale, Martin, 2019. "Forecasting with Unknown Unknowns: Censoring and Fat Tails on the Bank of England's Monetary Policy Committee," EMF Research Papers 27, Economic Modelling and Forecasting Group.
    19. 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).
    20. Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019. "Vulnerable Growth," American Economic Review, American Economic Association, vol. 109(4), pages 1263-1289, April.

    More about this item

    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:taf:japsta:v:39:y:2012:i:8:p:1765-1779. 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/CJAS20 .

    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.