Dear Kathrinchen It seems to me that your question is about statistics rather than about R and systemfit. If you find out how the statistical test should be conducted theoretically, I can probably advise you how to implement the test in R (systemfit).
Best wishes, Arne On 11 July 2013 13:21, Kathrinchen <katha.m...@web.de> wrote: > Dear all, > > I have set up a Labour Demand Error Correction Model for some German federal > states. > > As I expect the labour markets to be correlated I used a Seemingly Unrelated > Regression using systemfit in R. > > My Model is: > > d(emp)_it = c + alpha*ln(emp)_i,t-1 + beta_1*ln(gdp)_i,t-1 + + > beta_2*ln(wage)_i,t-1 + + beta_1*ln(i)_i,t-1 + gamma_1*d(gdp)_it + > gamma_2*d(wage)_it > > with emp_it being the employment in state i at time t, i stands for the real > interest rate, ln() is the logarithmed data, while d() stands for the > difference operator. > > I would like to test now for weak exogeneity and I am not quite sure what > kind of regression to run. If I run: > d(gdp)_it = c + alpha*ln(emp)_i,t-1 + beta_1*ln(gdp)_i,t-1 + + > beta_2*ln(wage)_i,t-1 + + beta_1*ln(i)_i,t-1 + gamma_1*d(emp)_it + > gamma_2*d(wage)_it > > with Systemfit, alpha is statistically significant, so I have to reject the > hypothesis of weak exogeneity...Literature is in my opinion not so clear on > what to test! > > I use data from an application, they conclude that endogeneity is not a > problem: they regress the possible endogenous variables "on the presumed > equilibrium relation, a constant and one autoregressive lag" - here I am not > sure, what they mean. > > I would very much appreciate your help! > > Thanks a lot! > > > > > > -- > View this message in context: > http://r.789695.n4.nabble.com/Testing-for-weak-exogeneity-in-a-SUR-ECM-tp4671321.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. -- Arne Henningsen http://www.arne-henningsen.name ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.