Nonparametric Seemingly Unrelated Regression
This paper presnets a method for simultaneously estimating a system of nonparametric multiple regressions which may seem unrelated, but where the errors are potentially correlated between equations. We show that the prime advantage of estimating such a 'seemingly unrelated' system of nonparametric regressions is that substantially less observations can be required to obtain reliable functions estimates than if each of the regression equations was estimated separately and the correlation ignored.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1998|
|Date of revision:|
|Contact details of provider:|| Postal: PO Box 11E, Monash University, Victoria 3800, Australia|
Phone: +61 3 99052489
Fax: +61 3 99055474
Web page: http://business.monash.edu/econometrics-and-business-statistics
More information through EDIRC
|Order Information:|| Web: http://business.monash.edu/econometrics-and-business-statistics Email: |
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.:
- Min, C.K. & Zellner, A., 1992.
""Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates","
90-92-23, California Irvine - School of Social Sciences.
- Min, Chung-ki & Zellner, Arnold, 1993. "Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 89-118, March.
- Smith, Michael & Kohn, Robert, 1996.
"Nonparametric regression using Bayesian variable selection,"
Journal of Econometrics,
Elsevier, vol. 75(2), pages 317-343, December.
- Smith, M. & Kohn, R., . "Nonparametric Regression using Bayesian Variable Selection," Statistics Working Paper _009, Australian Graduate School of Management.
- Mandy, David M. & Martins-Filho, Carlos, 1993. "Seemingly unrelated regressions under additive heteroscedasticity : Theory and share equation applications," Journal of Econometrics, Elsevier, vol. 58(3), pages 315-346, August.
- Neil Shephard & Michael K Pitt, 1998. "Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion," Economics Series Working Papers 1998-W05, University of Oxford, Department of Economics.
- Smith, Michael, 2000. "Modeling and Short-term Forecasting of New South Wales Electricity System Load," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 465-78, October.
- 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.
When requesting a correction, please mention this item's handle: RePEc:msh:ebswps:1998-7. 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: (Dr Xibin Zhang)
If references are entirely missing, you can add them using this form.