systemfit - SUR
Arne Henningsen <ahenningsen at email.uni-kiel.de> schrieb am 29.11.2004, 17:02:12:
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 supply labels system fitols fitols$rcov
[,1] [,2]
[1,] 3.725391 4.136963
[2,] 4.136963 5.784441
R> fitsur fitsur$rcovest
[,1] [,2]
[1,] 3.725391 4.136963
[2,] 4.136963 5.784441
It is a pity, but my matrices are not as nice :-(
An excerpt:
fitsur$rcovest
[,1] [,2] [,3] ...
[1,] 0.015097517 0.018005050
[2,] 0.018005050 0.276259834
...
fitols$rcov
[,1] [,2] [,3] ...
[1,] 1.010326e-02 0.0096103837
[2,] 9.610384e-03 0.2329884378
...
fitsur "The covariance matrix of the residuals used for estimation":
eq1 eq2 eq3 ...
eq1 0.01317429 0.01504719 0.007981307
eq2 0.01504719 0.25233860
...
fitols "The covariance matrix of the residuals":
eq1 eq2 eq3 ...
eq1 9.51154e-03 0.009137884 0.002648577
eq2 9.13788e-03 0.220435063
...
By the way: Why are the figures larger for SUR?
Did you do _iterated_ SUR?
Yes: "systemfit results method: iterated SUR convergence achieved after 30 iterations" I do not know how to change that.
Best wishes, Arne
THANKS A LOT FOR YOUR IMMEDIATE HELP!!!
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
______________________________________________ R-help at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
-- 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/