Parallel Strategies for Solving SURE Models with Variance Inequalities and Positivity of Correlations Constraints
- Cite this article as:
- Kontoghiorghes, E.J. Computational Economics (2000) 15: 89. doi:10.1023/A:1008647128446
- 35 Downloads
The problem of computing estimates of parameters in SURE models withvariance inequalities and positivity of correlations constraintsis considered. Efficient algorithms that exploit the blockbi-diagonal structure of the data matrix are presented. Thecomputational complexity of the main matrix factorizations isanalyzed. A compact method to solve the model with proper subsetregressors is proposed.
Unable to display preview. Download preview PDF.