| Library: | metrics |
| See also: | seq |
| Quantlet: | sur | |
| Description: | Estimates a seemingly unrelated regression system by feasible generalized least squares |
| Usage: | {b,s}=sur(surlist1,surlist2) | |
| Input: | ||
| surlist1 | list of matrices. If there are M equations then surlist1 will be a list of M+1 matrices. The first matrix is comprised of the vectors of observations of the left-hand side variables. Each of the next M matrices consists of the observations of the right-hand-side variables of one of the M equations of the system. | |
| surlist2 | list of string vectors. If there are M equations then surlist2 will be a list of M+1 string (column) vectors. Each vector contains the names of the variables of the corresponding matrix from surlist1. | |
| Output: | ||
| b | vector, containing the generalized least squares coefficient estimates | |
| s | vector, containing the estimated standard errors of the components of b | |
library("metrics")
z=read("carc.dat")
price=z[,2]
weight=z[,9]
foreign=(z[,14].<>1)
mpg=z[,3]
displ=z[,12]
length=z[,10]
n=rows(z)
one = matrix(n,1)
lhs=price~mpg~displ
x1=one~foreign~weight~length
x2=one~foreign~weight
x3=one~foreign~weight
surlist1=list(lhs,x1,x2,x3)
; setting up the string vectors for surlist2
yl="price"|"mpg"|"displ"
zl1="one"|"foreign"|"weight"|"length"
zl2="one"|"foreign"|"weight"
zl3="one"|"foreign"|"weight"
surlist2=list(yl,zl1,zl2,zl3)
{b,s}=sur(surlist1,surlist2)
You will find the following output in the output window Contents of outputgls [ 1,] "=====================================================" [ 2,] " Generalized Least-squares estimates" [ 3,] "=====================================================" [ 4,] " EQ dep. var. R2 " [ 5,] "=====================================================" [ 6,] " 1 price 0.586 " [ 7,] " 2 mpg 0.686 " [ 8,] " 3 displ 0.822 " [ 9,] "=====================================================" [10,] "VARIABLE Coef.Est. Std.Err. t" [11,] "--------------------------------------------------" [12,] "one 7635.062 3698.595 2.064" [13,] "forei 3486.077 587.354 5.935" [14,] "weigh 6.426 0.956 6.724" [15,] "lengt -116.055 32.896 -3.528" [16,] "--------------------------------------------------------- [17,] "one 41.471 2.005 20.683" [18,] "forei -1.425 1.007 -1.414" [19,] "weigh -0.007 0.001 -11.093" [20,] "--------------------------------------------------------- [21,] "one -86.899 23.972 -3.625" [22,] "forei -25.257 12.043 -2.097" [23,] "weigh 0.097 0.007 13.704" [24,] "====================================================="