ENTROPY-BASED SEEMINGLY UNRELATED REGRESSION
Paul Preckel () and
James S. Eales
No 28682, Staff Papers from Purdue University, Department of Agricultural Economics
We adapt the classical SUR procedure to a minimum cross entropy approach to estimate linear systems of equations where the errors across equations are correlated. We conclude that our entropy-based approach may provide a reasonable substitute for SUR in cases where classical methods may not be applied due to shortages of data.
Keywords: Research; Methods/; Statistical; Methods (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:puaesp:28682
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