Constraining parameters using tag() in SUR model - ZELIG
Dear Samantha I suggest that you directly use the systemfit() command rather than the wrapper function zelig(). You can impose parameter restrictions with the arguments "restrict.matrix", "restrict.rhs", and "restrict.regMat". You can use argument "restrict.matrix" to specify the restrictions numerically (as a matrix) or symbolically (with character strings). The (symbolical and numerical) imposition of parameter restrictions is described in [1], page 18-19 and in the documentation of systemfit() (with examples in the "Example" section). Please do not forget to cite systemfit in your publications--no matter whether you directly use it or through zelig(). Thanks! [1] http://www.jstatsoft.org/v23/i04/paper /Arne On 12 September 2012 20:05, Samantha Azzarello
<samantha.azzarello at cmegroup.com> wrote:
Hello all,
I am following some standard code from Zelig manual when using a SUR
(Seemingly Unrelated Regression Model) to constrain parameters across
equations.
Please see code below:
setwd("C:/Research/Economics/SUR_FX/Model")
# Seemingly Unrelated Regression
# Load our library.
library(Zelig)
library(systemfit)
library(zoo)
# data.
factors <- read.table("./RFactors.txt", header = TRUE)
returns <- read.table("./RReturns.txt", header = TRUE)
myData <- c(factors,returns)
# This is our system of equations.
mySys <- list(mu1 = USDEUR ~ USDRATE + tag(USDYC, "USDYC")+ USDCC + EURRATE
+ EURYC + EURLY,
mu2 = USDGBP ~ USDRATE + tag(USDYC, "USDYC") + USDCC + GBPRATE + GBPYC +
GBPLY,
mu3 = USDCHF ~ USDRATE + tag(USDYC, "USDYC") + USDCC + CHFRATE + CHFYC +
CHFLY,
mu4 = USDSEK ~ USDRATE + tag(USDYC, "USDYC") + USDCC + SEKRATE + SEKYC +
SEKLY,
mu5 = USDNOK ~ USDRATE + tag(USDYC, "USDYC") + USDCC + NOKRATE + NOKYC +
NOKLY,
mu6 = USDJPY ~ USDRATE + tag(USDYC, "USDYC") + USDCC + JPYRATE + JPYYC +
JPYLY,
mu7 = USDSGD ~ USDRATE + tag(USDYC, "USDYC") + USDCC + SGDRATE + SGDYC +
SGDLY,
mu8 = USDAUD ~ USDRATE + tag(USDYC, "USDYC") + USDCC + AUDRATE + AUDYC +
AUDLY,
mu9 = USDCAD ~ USDRATE + tag(USDYC, "USDYC") + USDCC + CADRATE + CADYC +
CADLY,
mu10 = USDNZD ~ USDRATE + tag(USDYC, "USDYC") + USDCC + NZDRATE + NZDYC +
NZDLY)
# Here is our zelig function call.
z.out <- zelig(mySys,"sur", myData)
------ After this I am getting error:
Error in eval(expr, envir, enclos) : could not find function "tag"
there exists no info (I could find anyways..) RE installing tag() seperate,
also tag should be able to be used for the SUR model...
Any help would be appreciated.
Thanks
--
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Arne Henningsen http://www.arne-henningsen.name