High‑Dimensional Econometrics |https://www.khaichiong.com/tags/highdimensional-econometrics/High‑Dimensional EconometricsHugoBlox Kit (https://hugoblox.com)en-usSun, 01 Aug 2021 00:00:00 +0000https://www.khaichiong.com/media/icon_hu_da05098ef60dc2e7.pngHigh‑Dimensional Econometricshttps://www.khaichiong.com/tags/highdimensional-econometrics/Estimation of High‑Dimensional Seemingly Unrelated Regression Modelshttps://www.khaichiong.com/publications/high-dimensional-sur-models/Sun, 01 Aug 2021 00:00:00 +0000https://www.khaichiong.com/publications/high-dimensional-sur-models/<p>Tan, Chiong, and Moon extend the classical seemingly unrelated regression framework to high‑dimensional settings. Their regularization‑based estimator allows researchers to handle many equations simultaneously while capturing dependence across them. The results have implications for macroeconomics, finance, and marketing analytics.</p>