[R] Weighted SUR, 2SLS regressions

[Arne Henningsen]

On Wednesday 16 July 2003 11:04:58 +0300, "Yonathan (Jon) Anson" 
<anson at bgumail.bgu.ac.il> wrote:
>
> Is there an option for running SUR and 2SLS regressions with weighting
> (I am analysing mortality in towns, hence want to weight by population
> size)
>
> Many thanks
>
> Jon Anson

The "systemfit" package can run SUR and 2SLS regressions. However, systemfit 
does not (yet) offer the user to provide weights for the regression. I did 
not hear anything about these regression methods so far. Can you tell me an 
article or textbook that explains how this should work? If this is not too 
much work, these methods might be implement in a new version of the systemfit 
package. (Jeff (the author and maintainer of systemfit) and I are just 
preparing a new version of the systemfit package that has several additional 
features (e.g. cross-equation restrictions.) 

Best wishes,
Arne