Updating SURE Models

Erricos Kontoghiorghes

No 1324, Computing in Economics and Finance 1999 from Society for Computational Economics

Abstract: The standard means for updating the SURE model is a well-known process. This work presents a computationally efficient and numerically stable method for solving this updating problem. Within this context, an algorithm is developed for recursive estimation of SURE models. The parallelization of the main matrix computations is shown. Furthermore, computational methods for solving a modified SURE model after exogenous variables or observations have been deleted or added are also discussed.

Date: 1999-03-01
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf9:1324

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