Arne Henningsen <[EMAIL PROTECTED]> schrieb am 30.11.2004, 10:20:29: > On Tuesday 30 November 2004 09:34, [EMAIL PROTECTED] wrote: > > Arne Henningsen schrieb am 29.11.2004, > > > > 17:02:12: > > > 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 supply labels system fitols fitols$rcov > > > [,1] [,2] > > > [1,] 3.725391 4.136963 > > > [2,] 4.136963 5.784441 > > > R> fitsur fitsur$rcovest > > > [,1] [,2] > > > [1,] 3.725391 4.136963 > > > [2,] 4.136963 5.784441 > > > > It is a pity, but my matrices are not as nice :-( > > Please show how you obtained these results. I did not provide the steps, because the data is not public. But that is what I did after defining the system and labels (like you & the documentation): fitols<-systemfit("OLS", system, labels) fitsur<-systemfit("SUR", system, labels, maxit=100)
But after all I think your answers are sufficient. Thanks once again for your support. R and the community are really excellent and a big thread to competitors! > This is what I did: > R> data( kmenta ) > R> demand supply labels system > R> # OLS estimation: > R> fitols # (non-iterated) SUR estimation > R> fitsur iterated SUR estimation > R> fitsurit > R> fitols$rcov > [,1] [,2] > [1,] 3.725391 4.136963 > [2,] 4.136963 5.784441 > R> fitsur$rcovest > [,1] [,2] > [1,] 3.725391 4.136963 > [2,] 4.136963 5.784441 > R> fitsurit$rcovest > [,1] [,2] > [1,] 6.199071 7.493383 > [2,] 7.493383 9.128547 > > > > An excerpt: > > fitsur$rcovest > > [,1] [,2] [,3] ... > > [1,] 0.015097517 0.018005050 > > [2,] 0.018005050 0.276259834 > > ... > > > > fitols$rcov > > [,1] [,2] [,3] ... > > [1,] 1.010326e-02 0.0096103837 > > [2,] 9.610384e-03 0.2329884378 > > ... > > > > fitsur "The covariance matrix of the residuals used for estimation": > > eq1 eq2 eq3 ... > > eq1 0.01317429 0.01504719 0.007981307 > > eq2 0.01504719 0.25233860 > > ... > > > > fitols "The covariance matrix of the residuals": > > eq1 eq2 eq3 ... > > eq1 9.51154e-03 0.009137884 0.002648577 > > eq2 9.13788e-03 0.220435063 > > ... > > > > By the way: Why are the figures larger for SUR? > > OLS minimizes the residuals and, thus, also the variance of the residuals > (=diagonal of the residual covariance matrix). > Iterated SUR is equivalent to a maximum likelihood estimation. Maximizing the > likelihood value is equivalent to minimizing the determinant of the residual > covariance matrix. Thus, the determinant of the residual covariance matrix > and not the residuals itself are minimized: > > R> det(fitols$rcov) > [1] 4.434845 > R> det(fitsurit$rcov) > [1] 0.4376941 > R> det(fitsurit$rcovest) > [1] 0.4377184 > > > > Did you do _iterated_ SUR? > > > > Yes: > > "systemfit results > > method: iterated SUR > > convergence achieved after 30 iterations" > > If you use iterated SUR, the SUR estimations are iterated. In the first SUR > estimation the residual covariance matrix of the OLS estimation is used. In > all following iterations the residual covariance matrix of the previous step > SUR estimation is used. > > > I do not know how to change that. > > Please read the documentation. It says to set argument "maxit" to 1 - or do > not provide this argument, since 1 is the default. > > > > Best wishes, > > > Arne > > > > THANKS A LOT FOR YOUR IMMEDIATE HELP!!! > > > > > > 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? > > I don't understand what you want to test. Does the hausman test what you are > looking for (see ?hausman.systemfit). If you have questions regarding this > test, you might ask my co-author of systemfit, Jeff Hamann. Primarily I want to test if the variance covariance matrix of the OLS residuals is diagonal. But this can be done manually, of course. > Best wishes, > Arne > > > > > 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 > > -- > 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