[R-sig-ME] SUR in lmer

[Markus Jäntti]

On 03/29/2012 05:08 PM, Giulia Dotti Sani wrote:
> Thank you. However, I can't see how I can specify two dependent  variables.
>

You don't. You  reshape the data into "long" format, have a factor that 
indicates which unit's observations you are using, interact the explanatory 
variables with that indicator and also use that indicator for the variance 
function.

Markus
> On Thu, Mar 29, 2012 at 11:06 AM, Markus Jäntti<markus.jantti at iki.fi>  wrote:
>> On 03/29/2012 10:58 AM, Giulia Dotti Sani wrote:
>>>
>>> Hello everyone,
>>>
>>> is there a way of running a seemingly unrelated regression under lme4
>>> or other multilevel packages?
>>
>>
>> Take a look at glm in nlme. You need to specify both a correlation structure
>> (to allow the seemingly unrelated units to be correlated through their error
>> terns) and a variance function (to allow for different residual variances
>> for the units).
>>
>> Best,
>>
>> Markus
>>>
>>>
>>> Thank you!
>>>
>>> Giulia
>>>
>>> _______________________________________________
>>> R-sig-mixed-models at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-mixed-models
>>>
>>
>>
>> --
>> Markus Jantti
>> Professor of Economics
>> Swedish Institute for Social Research
>> Stockholm University
>>
>> _______________________________________________
>> R-sig-mixed-models at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-mixed-models
>


-- 
Markus Jantti
Professor of Economics
Swedish Institute for Social Research
Stockholm University