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Updating SURE Models

Author

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  • Erricos Kontoghiorghes

    () (University of Neuchatel)

Abstract

The standard means for updating the SURE model is a well-known process. This work presents a computationally efficient and numerically stable method for solving this updating problem. Within this context, an algorithm is developed for recursive estimation of SURE models. The parallelization of the main matrix computations is shown. Furthermore, computational methods for solving a modified SURE model after exogenous variables or observations have been deleted or added are also discussed.

Suggested Citation

  • Erricos Kontoghiorghes, 1999. "Updating SURE Models," Computing in Economics and Finance 1999 1324, Society for Computational Economics.
  • Handle: RePEc:sce:scecf9:1324
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    Cited by:

    1. Paolo, Foschi, 2005. "Estimating regressions and seemingly unrelated regressions with error component disturbances," MPRA Paper 1424, University Library of Munich, Germany, revised 07 Sep 2006.

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