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Title: Inconsistencies in SURE models : computational aspects
Authors: Kontoghiorghes, Erricos John 
Keywords: Least squares
Kronecker products
Analysis of variance
Analysis of covariance
Issue Date: 2000
Publisher: Springer Link
Source: Computational Economics, 2000, Volume 16, Issue 1-2, Pages 63-70
Abstract: The solution of the SURE model with singular variance-covariance matrix results in redundancies and possibly inconsistencies among the observations of the model. A numerical procedure is proposed and investigated that generates a consistent model from an inconsistent one. The use of SVD has been used to compute the various factorizations arising in the solution of the SURE model when treated as a generalized linear least squares problem.
ISSN: 0927-7099 (print)
1572-9974 (online)
DOI: 10.1023/A:1008701502938
Rights: © 2000 Kluwer Academic Publishers.
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