On the Least Absolute Deviations Method for Ridge Estimation of SURE Models

Zangin Zeebari and Ghazi Shukur
Additional contact information
Zangin Zeebari: Department of Economics, Finance and Statistics, Postal: Jönköping International Business School, Sweden

No 69, HUI Working Papers from HUI Research

Abstract: This paper examines the application of the Least Absolute Deviations (LAD) method for ridge-type parameter estimation of Seemingly Unrelated Regression Equations (SURE) models. The methodology is aimed to deal with the SURE models with non-Gaussian error terms and highly collinear predictors in each equation. Some biasing parameters used in the literature are taken and the efficiency of both Least Squares (LS) ridge estimation and the LAD ridge estimation of the SURE models, through the Mean Squared Error (MSE) of parameter estimators, is evaluated.

Keywords: SURE Models; LAD Estimation; Ridge Regression; Efficiency; Robustness (search for similar items in EconPapers)
JEL-codes: C15 C30 C31 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2012-10-24
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.hui.se/MediaBinaryLoader.axd?MediaArchi ... e_ForceDownload=true (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.hui.se/MediaBinaryLoader.axd?MediaArchive_FileID=e5cb730c-85e5-479d-8bde-1b460b9579c3&FileName=HUIwp69.pdf&MediaArchive_ForceDownload=true [301 Moved Permanently]--> https://www.hui.se/MediaBinaryLoader.axd?MediaArchive_FileID=e5cb730c-85e5-479d-8bde-1b460b9579c3&FileName=HUIwp69.pdf&MediaArchive_ForceDownload=true [301 Moved Permanently]--> https://hui.se/MediaBinaryLoader.axd?MediaArchive_FileID=e5cb730c-85e5-479d-8bde-1b460b9579c3&FileName=HUIwp69.pdf&MediaArchive_ForceDownload=true)

Related works:
Journal Article: On The Least Absolute Deviations Method for Ridge Estimation of Sure Models (2023)
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:hhs:huiwps:0069

Access Statistics for this paper

More papers in HUI Working Papers from HUI Research Handelns Forskningsinstitut, c/o HUI Research, Regeringsgatan 60, 103 29 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Hans Seerar Westerberg ().