Parallel Strategies for Solving SURE Models with Variance Inequalities and Positivity of Correlations Constraints

Authors:
Erricos J. Kontoghiorghes
Affiliations:
Institut d'informatique, Université de Neuchâtel, Rue Emile-Argand 11, CH-2007 Neuchâtel, Switzerland, E-mail: erricos.kontoghiorghes@info.unine.ch
Venue:
Computational Economics - Computational Studies at Stanford
Year:
2000

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Abstract

The problem of computing estimates of parameters in SURE models withvariance inequalities and positivity of correlations constraintsis considered. Efficient algorithms that exploit the blockbi-diagonal structure of the data matrix are presented. Thecomputational complexity of the main matrix factorizations isanalyzed. A compact method to solve the model with proper subsetregressors is proposed.