[R] systemfit - SUR

Arne Henningsen ahenningsen at email.uni-kiel.de
Tue Nov 30 12:04:33 CET 2004

On Tuesday 30 November 2004 10:50, contact at thomasalmer.com wrote:
> [ . . .]
> > Please show how you obtained these results.
> I did not provide the steps, because the data is not public. 

A general remark:
In most cases a questioner can use the example data provided with a package or 
construct simple data, e.g. with matrix(1:9,3). See the posting guide, 
section "Examples". (If the surprising behavior does not appear with the 
sample data, the questioner has to take a deeper look in _his_ data.)

> But that is 
> what I did after defining the system and labels (like you & the
> documentation):
> fitols<-systemfit("OLS", system, labels)
> fitsur<-systemfit("SUR", system, labels, maxit=100)
> But after all I think your answers are sufficient. Thanks once again for
> your support. R and the community are really excellent and a big thread
> to competitors!
> [ . . . ]
> > > > > 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?
> >
> > I don't understand what you want to test. Does the hausman test what you
> > are looking for (see ?hausman.systemfit). If you have questions regarding
> > this test, you might ask my co-author of systemfit, Jeff Hamann.
> Primarily I want to test if the variance covariance matrix of the OLS
> residuals is diagonal. But this can be done manually, of course.

Please provide the code and a reference to the test. Then, I will add this 
test to systemfit. This is how R works: useRs become developerR :-)

Best wishes,

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

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