systemfit - SUR
On Monday 29 November 2004 16:42, contact at thomasalmer.com wrote:
Hello to everyone,
I have 2 problems and would be very pleased if anyone can help me:
1) When I use the package "systemfit" for SUR regressions, I get two
different variance-covariance matrices when I firstly do the SUR
regression ("The covariance matrix of the residuals used for
estimation") and secondly do the OLS regressions. In the manual for
"systemfit" on page 14 I see however, that the variance-covariance
matrix for SUR is obtained from OLS. How can this be explained?
Hi Thomas,
I get identical residual covariance matrices:
R> library(systemfit)
R> data( kmenta )
R> demand <- q ~ p + d
R> supply <- q ~ p + f + a
R> labels <- list( "demand", "supply" )
R> system <- list( demand, supply )
R> fitols <- systemfit("OLS", system, labels, data=kmenta )
R> fitols$rcov
[,1] [,2]
[1,] 3.725391 4.136963
[2,] 4.136963 5.784441
R> fitsur <- systemfit("SUR", system, labels, data=kmenta )
R> fitsur$rcovest
[,1] [,2]
[1,] 3.725391 4.136963
[2,] 4.136963 5.784441
Did you do _iterated_ SUR?
Best wishes,
Arne
2) Is there an easy possibility to test a) the OLS equations, and b) the SUR system for SUR structures? In other words: Is the LM-Test from Breusch and Pagan available in R? Thanks for the attention! Best Regards, Thomas Almer
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Arne Henningsen Department of Agricultural Economics University of Kiel Olshausenstr. 40 D-24098 Kiel (Germany) Tel: +49-431-880 4445 Fax: +49-431-880 1397 ahenningsen at agric-econ.uni-kiel.de http://www.uni-kiel.de/agrarpol/ahenningsen/