Estimation of high-dimensional seemingly unrelated regression models

Tan, LD; Chiong, KX; Moon, HR

Moon, HR (corresponding author), Univ Southern Calif, Dept Econ, Los Angeles, CA 90007 USA.; Moon, HR (corresponding author), Yonsei Univ, Sch Econ, Seoul, South Korea.

ECONOMETRIC REVIEWS, 2021; 40 (9): 830

Abstract

In this article, we investigate seemingly unrelated regression (SUR) models that allow the number of equations (N) to be large and comparable to the n......

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