[R] Multivariate multiple regression

Arne Henningsen ahenningsen at email.uni-kiel.de
Fri May 6 10:00:37 CEST 2005

On Wednesday 04 May 2005 20:08, Iain Pardoe wrote:
> I'd like to model the relationship between m responses Y1, ..., Ym and a
> single set of predictor variables X1, ..., Xr.  Each response is assumed
> to follow its own regression model, and the error terms in each model
> can be correlated.  My understanding is that although lm() handles
> vector Y's on the left-hand side of the model formula, it really just
> fits m separate lm models.  What should I use to do a full multivariate
> analysis (as in section 7.7 of Johnson/Wichern)?  Thanks.

I don't know Johnson/Wichern. However, it seems to me that you want to do a 
"seemingly unrelated regression" (SUR). You can do this with the package 


> Iain Pardoe <ipardoe at lcbmail.uoregon.edu>
> University of Oregon
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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

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