Re: Re: [R] systemfit - SUR

[contact@thomasalmer.com]

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
> >
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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/