An (the?) early reference for SUR is:
* Arnold Zellner (1962). "An efficient method for estimating seemingly
unrelated regressions, and tests for aggregation bias," Journal of the American
Statistical Association, Vol 57, pp348--68.
* For a discusssion, generalization and related references see, p. 306---, Ch
9. of Russell Davidson and James MacKinnon (1993). Estimation and Inference
in Econometrics.
* See, William Greene. Econometric Analysis. (Nth edition) for recepies,
applications and references.
In a message dated 8/11/03 2:43:27 PM Eastern Daylight Time,
[EMAIL PROTECTED] writes:
> On Wednesday 16 July 2003 11:04:58 +0300, "Yonathan (Jon) Anson"
> <[EMAIL PROTECTED]> wrote:
> >
> >Is there an option for running SUR and 2SLS regressions with weighting
> >(I am analysing mortality in towns, hence want to weight by population
> >size)
> >
> >Many thanks
> >
> >Jon Anson
>
> The "systemfit" package can run SUR and 2SLS regressions. However, systemfit
>
> does not (yet) offer the user to provide weights for the regression. I did
> not hear anything about these regression methods so far. Can you tell me an
> article or textbook that explains how this should work? If this is not too
> much work, these methods might be implement in a new version of the
> systemfit
> package. (Jeff (the author and maintainer of systemfit) and I are just
> preparing a new version of the systemfit package that has several additional
>
> features (e.g. cross-equation restrictions.)
>
> Best wishes,
> Arne
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