SUR11-30-10 - Seemingly Unrelated Regression Notes Charles...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
Seemingly Unrelated Regression Notes Charles B. Moss December 1, 2010 I thought it may be a good idea to work through the mechanics of the matrix operations in Seemingly Unrelated Regression with respect to the Kronecker products. As a starting point, consider a simple regression model 1 x 11 x 12 00 0 1 x 21 x 22 1 x 31 x 32 00 01 x 11 x 12 x 21 x 22 x 31 x 32 β 01 β 11 β 21 β 02 β 21 β 22 = y 11 y 21 y 31 y 12 y 22 y 32 . (1) The errors from this regression model can be used to form a residual matrix ± = y 11 β 01 β 11 x 11 β 21 x 12 y 21 β 02 β 12 x 11 β 22 x 12 y 21 β 01 β 11 x 21 β 21 x 22 y 22 β 02 β 12 x 21 β 22 x 22 y 31 β 01 β 11 x 31 β 21 x 32 y 32 β 02 β 12 x 31 β 22 x 32 . (2) Based on these residuals we can deFne the estimated inverse of the variance
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 07/15/2011 for the course AEB 6180 taught by Professor Staff during the Spring '10 term at University of Florida.

Page1 / 4

SUR11-30-10 - Seemingly Unrelated Regression Notes Charles...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online