Some overall properties of seemingly unrelated regression models

Sun, Yan; Rong, Ke; Tian, Yongge

doi:10.1007/s10182-013-0212-2

Cited by 8 publications

(5 citation statements)

References 37 publications

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“…This is formalized in the following equation: In applied settings, we make use of Seemingly Unrelated Regression (SUR), firstly discussed by Zellner ( 1962 ), to estimate the set of industry-specific equations. The SUR method (or JGLS, Joint Generalized Least Squares) represents a generalisation the OLS method which comprises several regression equations and increases efficiency if the equations have different regressors (Wang, 2010 ; Kubáček, 2013 ; Sun et al, 2014 ; Kurata & Matsuura, 2016 ). Moreover, the key feature of the SUR model is that it allows each equation to have its own explanatory variables (unlike, for instance, a VAR model) therefore accounting for possible correlation among equation error terms.…”

Section: Methodological Approachmentioning

confidence: 99%

Systematic and Unsystematic Determinants of Sectoral Risk Default Interconnectedness

Awijen¹,

Zaied

Hunjra

2022

Comput Econ

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Assessing the financial stability of the banking industry, particularly in credit risk management, has become extremely crucial in times of uncertainty. Given that, this paper aims to investigate the determinants of the interconnectedness of sectoral credit risk default for developing countries. To that purpose, we employ a dynamic credit risk model that considers a variety of macroeconomic indicators, bank-specific variables, and household characteristics. Moreover, the SURE model is used to analyze empirical data. We find the connection between macroeconomic, bank-specific, and household characteristics, and sectoral default risk. The outcomes of macroeconomic factors demonstrate that few macroeconomic determinants significantly influence the sector’s default risk. The empirical results of household components reveal that educated households play a substantial role in decreasing sectoral loan defaults interconnectedness and vice versa. While for bank-specific characteristic, we find that greater bank profitability and specialization have substantially reduced loan defaults.

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Section: Methodological Approachmentioning

confidence: 99%

Systematic and Unsystematic Determinants of Sectoral Risk Default Interconnectedness

Awijen¹,

Zaied

Hunjra

2022

Comput Econ

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“…To simultaneously analyse the relations between different sets of personal-and business centre characteristics (independent variables) and different types of knowledge sharing (as dependent variables) in a single model system, a seemingly unrelated regression analysis (SUR) was used. A SUR is used when multiple regression equations, with different dependent variables that are related to each other and different sets of independent variables, are analysed at the same time (Sun et al, 2014). In this study, the equations with the four types of knowledge sharing as dependent variables are also related to each other.…”

Section: Methodsmentioning

confidence: 99%

“…In this study, the equations with the four types of knowledge sharing as dependent variables are also related to each other. Therefore, an SUR is a suitable method as an extension of linear regression analysis that allows correlated errors between equations (Sun et al, 2014).…”

Section: Methodsmentioning

confidence: 99%

The influence of personal- and business centre characteristics on knowledge sharing types in business centres

Weijs-Perrée

Appel‐Meulenbroek

Arentze

et al. 2019

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“…Seemingly unrelated regression (SUR) models are consider multiple regression equations having correlation in error terms. They have attracted considerable interest in recent years; see e.g., [1][2][3][4], since these models were proposed by Zellner [5]. The method for joint estimation of unknown parameters by combining the equations was given by [5][6][7].…”

Section: Introductionmentioning

confidence: 99%

“…In order to establish some results on predictions/estimations of all unknown parameters under models and we can consider the following general linear function (4) for given matrices ∈ and ∈ , 1,2. According to the assumptions in (1) and (2), ,…”

Section: Introductionmentioning

confidence: 99%

İki SUR Model Altında Ön Tahmin Edicilerin Kovaryans Matrisleri Üzerine Bazı Notlar

Güler

Yüce

2020

Bilecik Şeyh Edebali Üniversitesi Fen Bilimleri Dergisi

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Görünürde ilişkisiz regresyon (SUR) modelleri denklemler arasında hataların ilişkili olduğu çoklu regresyon denklemlerinin ele alındığı lineer regresyon modellerinin uzantılarıdır. Bu çalışmada, SUR modelleri altında ön tahmin problemi ele alınmıştır. İki SUR modeli altında tüm bilinmeyen vektörlerin en iyi lineer yansız ön tahmin edicilerinin (BLUP' larının) istatistiksel özellikleri üzerine çeşitli sonuçlar verilmiştir. Özellikle, matrislerin bazı rank formülleri kullanılarak iki model altında BLUP'ların kovaryans matrisleri üzerine bazı sonuçlar elde edilmiştir.

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Some overall properties of seemingly unrelated regression models

Cited by 8 publications

References 37 publications

Systematic and Unsystematic Determinants of Sectoral Risk Default Interconnectedness

Systematic and Unsystematic Determinants of Sectoral Risk Default Interconnectedness

The influence of personal- and business centre characteristics on knowledge sharing types in business centres

İki SUR Model Altında Ön Tahmin Edicilerin Kovaryans Matrisleri Üzerine Bazı Notlar

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