Please use this identifier to cite or link to this item:
Title: A Generalized Singular Value Decomposition Strategy for Estimating the Block Recursive Simultaneous Equations Model
Authors: Cosbuc, Mircea I. 
Gatu, Cristian 
Colubi, Ana 
Kontoghiorghes, Erricos John 
Keywords: Block recursive SEM;Three-stage least squares;Generalized SVD
Category: Economics and Business
Field: Social Sciences
Issue Date: 2017
Publisher: Springer New York LLC
Source: Computational Economics, 2017, Volume 50, Issue 3, Pages 503–515
Journal: Computational Economics 
Abstract: A new strategy for deriving the three-stage least squares (3SLS) estimator of the simultaneous equations model (SEM) is proposed. The main numerical tool employed is the generalized singular value decomposition. This provides a numerical estimation procedure which can tackle efficiently the particular case when the variance-covariance matrix is singular. The proposed algorithm is further adapted to deal with the special case of the block-recursive SEM. The block diagonal structure of the variance-covariance matrix is exploited in order to reduce significantly the computational burden. Experimental results are presented to illustrate the computational efficiency of the new estimation strategy when compared with the equivalent method that ignores the block-recursive structure of the SEM.
ISSN: 09277099
Rights: © 2016 Springer Science+Business Media New York
Type: Article
Appears in Collections:Άρθρα/Articles

Show full item record

Page view(s)

Last Week
Last month
checked on Aug 25, 2019

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.