Inconsistencies in SURE Models: Computational Aspects

Erricos Kontoghiorghes

Computational Economics, 2000, vol. 16, issue 1/2, 63-70

Abstract: The solution of the SURE model with singular variance-covariance matrix results in redundancies and possibly inconsistencies among the observations of the model. A numerical procedure is proposed and investigated that generates a consistent model from an inconsistent one. The use of SVD has been used to compute the various factorizations arising in the solution of the SURE model when treated as a generalized linear least squares problem.

Keywords: SURE models; least-squares; Kronecker products; SVD (search for similar items in EconPapers)
Date: 2000
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