SURE estimation - an introduction - part 1

This video introduces the concept of Seemingly Unrelated Regression Equation estimation or SURE/SUR.
Check out oxbridge-tutor.... for course materials, and information regarding updates on each of the courses. Check out ben-lambert.co... for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: ben-lambert.co... Accompanying this series, there will be a book: www.amazon.co....

[@prabhattrivedi494]

The order of X matrix should be (NT*NP) and for beta matrix (NP*1)

[@superisgood]

On 5:51, the dimensions of the first two matrices on RHS, are they NT*NP, NP*1, rather than NT*NT, NT*1? thanks.

[@godluc]

yes, I believe it should be NT*NP, NP*1

[@superisgood]

Thanks!

[@SpartacanUsuals]

Thank you for the original question and for pointing out my error. I will now add a note to the video. Best, Ben

[@superisgood]

Thank you Ben for providing so many helpful video lectures, those are easy to follow and really helpful to me.

[@shyamumich]

Thank you!

[@inkyukang2358]

i would like to see where the notation that represents the number of data points within each equation goes. Normally the identity matrix is n-dimensional (number of individual data points), not T-dimensional (which seems to be number of time periods). So confusing.

[@inkyukang2358]

I think you should've labeled i as something else than "individuals" because it can be misleading. Generally, i denotes each regression equation, not individual data point.