[R] systemfit - SUR

[Arne Henningsen]

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/