Nonparametric Seemingly Unrelated Regression

Michael Smith () and Robert Kohn ()

No 7/98, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper presnets a method for simultaneously estimating a system of nonparametric multiple regressions which may seem unrelated, but where the errors are potentially correlated between equations. We show that the prime advantage of estimating such a 'seemingly unrelated' system of nonparametric regressions is that substantially less observations can be required to obtain reliable functions estimates than if each of the regression equations was estimated separately and the correlation ignored.

Keywords: MODELS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C14 C15 (search for similar items in EconPapers)
Pages: 31 pages
Date: 1998
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Citations: View citations in EconPapers (2)

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Journal Article: Nonparametric seemingly unrelated regression (2000)
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