An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models

Author:

Hadjiantoni StellaORCID,Kontoghiorghes Erricos John

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference53 articles.

1. Generalized QR factorization and its applications;Anderson;Linear Algebra and its Applications,1992

2. Large bayesian vector auto regressions;Bańbura;Journal of Applied Econometrics,2010

3. Modeling systemic risk with Markov Switching Graphical SUR models;Bianchi;Journal of Econometrics,2019

4. Factorization methods for discrete sequential estimation;Bierman,1977

5. Numerical methods for least squares problems;Björck,1996

Cited by 1 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Multiscale SUR Estimation of Systematic Risk;Studies in Nonlinear Dynamics & Econometrics;2024-05-08

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