Comment

John Geweke

International Journal of Forecasting, 2010, vol. 26, issue 2, 435-438

Abstract: The article by Zellner and Ando proposes methods for coping with the excess kurtosis that is often observed in disturbances in applications of the seemingly unrelated regressions (SUR) model. This is an important topic which is of particular relevance in forecasting. However, the proposed methods do not address the problem: the direct Monte Carlo (DMC) algorithm is incorrect and the proposed variant of the Student-t distribution cannot account for thick tails in the distribution of disturbances in the SUR model.

Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0169-2070(10)00012-9
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:26:y::i:2:p:435-438

Access Statistics for this article

International Journal of Forecasting is currently edited by R. J. Hyndman

More articles in International Journal of Forecasting from Elsevier
Bibliographic data for series maintained by Catherine Liu ().