HUI Working Papers, HUI Research
Zangin Zeebari and Ghazi Shukur
On the Least Absolute Deviations Method for Ridge Estimation of SURE Models
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; (follow links to similar papers)
JEL-Codes: C15; C30; C31; (follow links to similar papers)
20 pages, October 24, 2012
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