Seemingly Unrelated RegressionsΒΆ

The format for the sur command is shown by this example:

r y1 = x11, x12, ...
r yn = xn1, xn2, ...
con 10 1 = a2 + 4b5 + etc
sma 100 a6 a12 1

After the sur command come all of the individual regressions. Any constraint or sma commands must come after the regressions. In the con and sma lines, a’s denote coefficients in the first regression; b’s coefficients in the second, and so on. Thus, “a2” denotes the second coefficient of the first regression and “b5” denotes the fifth coefficient of the second regression.

The predicted values, dependent variables, and regression coefficients of the successive equations appear in the workspace file as “predic1”, “depvar1”, “rcoef1”, “predic2”, “depvar2”, “rcoef2”, etc. The results of the individual equations can be plotted by “gr *1”, “gr *2”, etc. The graph commands should follow the do command and each should be preceeded by an appropriate title command.

The format for stack is exactly like that for sur except that the word “stack” replaces “sur”. With stack, no attention is paid to contemporaneous covariances. The point of stack is solely to impose soft constraints across regressions.

Limitation: Earlier editions of G7 imposed a limit of 30 regression variables, counting dependent, intercepts, and independent variables, that quickly could become binding in sur and stack, since it applied to the total variables in all equations involved in the sur or stack. In later versions, this constraint was relaxed so that G7 now can employ up to 500 regression variables.

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