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systemfit - SUR

2 messages · contact@thomasalmer.com, Arne Henningsen

Original
contact@thomasalmer.com
# 
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?

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
Arne Henningsen
#
On Monday 29 November 2004 16:42, contact at thomasalmer.com wrote:
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