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Parallel Strategies for Solving SURE Models with Variance Inequalities and Positivity of Correlations Constraints


  • Erricos Kontoghiorghes
  • Elias Dinenis

    (City University Business School)

  • Dennis Parkinson

    (University of London)


The problem of computing estimates of parameters in SURE models with variance inequalities and positivity of correlations constraints is considered. Efficient algorithms that exploit the block bidiagonal structure of the data matrix are presented. The computational complexity of the main matrix factorizations is analyzed. A compact method to solve the model with proper subset regressors is proposed. Citation Copyright 2000 by Kluwer Academic Publishers.
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  • Erricos Kontoghiorghes & Elias Dinenis & Dennis Parkinson, "undated". "Parallel Strategies for Solving SURE Models with Variance Inequalities and Positivity of Correlations Constraints," Computing in Economics and Finance 1997 45, Society for Computational Economics.
  • Handle: RePEc:sce:scecf7:45

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    References listed on IDEAS

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    8. Taylor, John B & Uhlig, Harald, 1990. "Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 1-17, January.
    9. Amemiya, Takeshi, 1983. "Non-linear regression models," Handbook of Econometrics,in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 6, pages 333-389 Elsevier.
    10. Sargent, Thomas J, 1978. "Estimation of Dynamic Labor Demand Schedules under Rational Expectations," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 1009-1044, December.
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    Cited by:

    1. Michael Creel & William Goffe, 2008. "Multi-core CPUs, Clusters, and Grid Computing: A Tutorial," Computational Economics, Springer;Society for Computational Economics, vol. 32(4), pages 353-382, November.
    2. Foschi, Paolo & Kontoghiorghes, Erricos J., 2003. "Estimating seemingly unrelated regression models with vector autoregressive disturbances," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 27-44, October.
    3. Foschi, Paolo & Belsley, David A. & Kontoghiorghes, Erricos J., 2003. "A comparative study of algorithms for solving seemingly unrelated regressions models," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 3-35, October.
    4. Foschi, Paolo & Kontoghiorghes, Erricos J., 2002. "Seemingly unrelated regression model with unequal size observations: computational aspects," Computational Statistics & Data Analysis, Elsevier, vol. 41(1), pages 211-229, November.

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