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Activity Number:
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319
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Type:
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Contributed
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Date/Time:
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Tuesday, August 4, 2009 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Statistical Computing
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| Abstract - #304890 |
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Title:
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Developing Median Regression for SURE Models
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Author(s):
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Ghazi Shukur and Zangin A.A. Zeebari*+
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Companies:
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Vaxjo University
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Address:
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School of Management and Economics, SE- 351 95 Vaxjo, , Sweden
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Keywords:
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Median regression ; SURE models ; robustness ; efficiency
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Abstract:
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In this paper we generalize the median regression method to be applicable to system of regression equations, in particular SURE models. Giving the existence of proper system-wise medians of the residuals from different equations, we apply the weighted median regression with the weights obtained from the covariance matrix of the equations obtained from ordinary SURE method. The benefit of this model in our case is that the SURE estimators utilize the information present in the cross regression (or equations) error correlation and hence more efficient than other estimation methods like the OLS method. The Seemingly Unrelated Median Regression Equations (SUMRE) models produce results that are more robust than the usual SURE or single equations OLS estimation when the distributions of the dependent variables are not normally distributed or the data are associated with outliers.
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