Conditional independence models for seemingly unrelated regressions with incomplete data

Mathias Drton, Steen A. Andersson and Michael D. Perlman

Journal of Multivariate Analysis, 2006, vol. 97, issue 2, 385-411

Abstract: We consider normal [reverse not equivalent] Gaussian seemingly unrelated regressions (SUR) with incomplete data (ID). Imposing a natural minimal set of conditional independence constraints, we find a restricted SUR/ID model whose likelihood function and parameter space factor into the product of the likelihood functions and the parameter spaces of standard complete data multivariate analysis of variance models. Hence, the restricted model has a unimodal likelihood and permits explicit likelihood inference. In the development of our methodology, we review and extend existing results for complete data SUR models and the multivariate ID problem.

Keywords: Acyclic; directed; graph; Graphical; model; Incomplete; data; Lattice; conditional; independence; model; MANOVA; Maximum; likelihood; estimator; Multivariate; analysis; Missing; data; Seemingly; unrelated; regressions (search for similar items in EconPapers)
Date: 2006
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