Modified Ridge Parameters for Seemingly Unrelated Regression Model
Download full text from publisher
References listed on IDEAS
- 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.
- 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.
- 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.
More about this item
KeywordsMulticollinearity; modified SUR ridge regression; Monte Carlo simulations; TMSE;
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helena Nilsson). General contact details of provider: http://edirc.repec.org/data/huistse.html .