Multiple local optima for seemingly unrelated regression models

Norman Womer

International Journal of Computational Economics and Econometrics, 2016, vol. 6, issue 1, 44-55

Abstract: This paper provides an example of multiple local maxima to the likelihood function for a seemingly unrelated regression (SUR) model with a cross equation restriction. Since this is the least complex of the various structural equations models (SEM) and since maximum likelihood is often the preferred technique for SEM the problem of multiple local maxima is expected to be pervasive.

Keywords: point estimation; maximum likelihood; structural equation modelling; SEM; cross equation restrictions; specification test; multiple local optima; seemingly unrelated regression models. (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijcome:v:6:y:2016:i:1:p:44-55

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