I can't say without more information. If the system were saturated
(i.e., has as many equations as unknowns), you should get the same
answer from all the different methods. However, I just tried a
saturated model in 'systemfit', with the following results:
> DF2 <- data.frame(y=1:2, x=3:4)
> lm(y~x, DF2)
Call:
lm(formula = y ~ x, data = DF2)
Coefficients:
(Intercept) x
-2 1
> library(systemfit)
> systemfit("OLS", list(eqn=y~x), data=DF2)
Error in solve.default(sigma, tol = solvetol) :
system is computationally singular: reciprocal condition number = 0
>
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Hope this helps.
Spencer Graves
Mihai Nica wrote:
> I might be sorry for asking this question :-)
>
> I have two equations and I tried to estimate
them individually with "lm" and "gls", and then in a
system (using systemfit) with "OLS", "WLS" and "SUR".
Quite surprisingly (for myself at least) the results
are identical to the last digit.
>
> Could someone (please!) give a hint as to what
am I doing wrong?
>
> Thanks,
>
> mihai
>
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