and Ghazi Shukur
Zangin Zeebari: Department of Economics, Finance and Statistics, Postal: Jönköping International Business School, Sweden
Ghazi Shukur: Department of Economics, Finance and Statistics, Postal: Jönköping International Business School, Sweden, and Department of Economics and Statistics, Linnaeus University, Sweden
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.
20 pages, October 24, 2012
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