"Multiple local optima for seemingly unrelated regression models" by Keith Womer

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Multiple local optima for seemingly unrelated regression models

Journal of Computational Economics and Econometrics (2016)

Keith Womer, University of Missouri-St. Louis

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Abstract

This paper provides an example of multiple local maxima to the likelihood function for a seemingly unrelated regression (SUR) model with a cross equation restriction. Since this is the least complex of the various structural equations models (SEM) and since maximum likelihood is often the preferred technique for SEM the problem of multiple local maxima is expected to be pervasive.

Keywords

point estimation,
maximum likelihood,
structural equation modelling,
SEM,
cross equation restrictions,
specification test,
multiple local optima,
seemingly unrelated regression models.

Disciplines

Economics and
Econometrics

Publication Date

2016

DOI

10.1504/IJCEE.2016.073343

Citation Information

Keith Womer. "Multiple local optima for seemingly unrelated regression models" Journal of Computational Economics and Econometrics Vol. 6 Iss. 1 (2016) p. 44 - 55
Available at: http://works.bepress.com/keith-womer/59/