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

Hadjiantoni, Stella; Kontoghiorghes, Erricos John

doi:10.1016/j.ecosta.2020.11.003

Econometrics and Statistics

2022

DOI: 10.1016/j.ecosta.2020.11.003

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

Stella Hadjiantoni

Erricos John Kontoghiorghes

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2024

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Multiscale SUR Estimation of Systematic Risk

Michis

2024

Studies in Nonlinear Dynamics &Amp; Econometrics

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We propose a multiscale version of the seemingly unrelated regressions model, based on wavelet transform-based time series observations. Each regression equation refers to a different time scale, which enables the use of across-scale error covariances in the feasible GLS estimation procedure for efficiency gains. We demonstrate the advantages of the proposed method over OLS with two studies: an empirical study using stock market returns for the main US industrial sectors and a detailed Monte Carlo simulation study with alternative wavelet filters. We also provide explanations for the suitability of the proposed method for estimating long-term systematic risk.

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Multiscale SUR Estimation of Systematic Risk

Michis

2024

Studies in Nonlinear Dynamics &Amp; Econometrics

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

Cited by 1 publication

References 50 publications

Multiscale SUR Estimation of Systematic Risk

Multiscale SUR Estimation of Systematic Risk

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