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Seemingly Unrelated Ridge Regression in Semiparametric Models

โœ Scribed by Roozbeh, M.; Arashi, M.; Gasparini, M.


Book ID
118229842
Publisher
Taylor and Francis Group
Year
2012
Tongue
English
Weight
764 KB
Volume
41
Category
Article
ISSN
0361-0926

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The numerical solution of seemingly unrelated regression (SUR) models with vector autoregressive disturbances is considered. Initially, an orthogonal transformation is applied to reduce the model to one with smaller dimensions. The transformed model is expressed as a reduced-size SUR model with stoc