On Monday 29 November 2004 16:42, [EMAIL PROTECTED] wrote: > Hello to everyone, > > I have 2 problems and would be very pleased if anyone can help me: > > 1) When I use the package "systemfit" for SUR regressions, I get two > different variance-covariance matrices when I firstly do the SUR > regression ("The covariance matrix of the residuals used for > estimation") and secondly do the OLS regressions. In the manual for > "systemfit" on page 14 I see however, that the variance-covariance > matrix for SUR is obtained from OLS. How can this be explained?
Hi Thomas, I get identical residual covariance matrices: R> library(systemfit) R> data( kmenta ) R> demand <- q ~ p + d R> supply <- q ~ p + f + a R> labels <- list( "demand", "supply" ) R> system <- list( demand, supply ) R> fitols <- systemfit("OLS", system, labels, data=kmenta ) R> fitols$rcov [,1] [,2] [1,] 3.725391 4.136963 [2,] 4.136963 5.784441 R> fitsur <- systemfit("SUR", system, labels, data=kmenta ) R> fitsur$rcovest [,1] [,2] [1,] 3.725391 4.136963 [2,] 4.136963 5.784441 Did you do _iterated_ SUR? Best wishes, Arne > 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? > > Thanks for the attention! > > Best Regards, > Thomas Almer > > ______________________________________________ > [EMAIL PROTECTED] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html -- 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 [EMAIL PROTECTED] http://www.uni-kiel.de/agrarpol/ahenningsen/ ______________________________________________ [EMAIL PROTECTED] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html