|
Title
[R] sureg -- Zellner's seemingly unrelated regression
Syntax
Basic syntax
sureg (depvar1 varlist1) (depvar2 varlist2) ... (depvarN varlistN) [if] [in] [weight]
Full syntax
sureg ([eqname1:] depvar1a [depvar1b ... =] varlist1 [, noconstant])
([eqname2:] depvar2a [depvar2b ... =] varlist2 [, noconstant])
...
([eqnameN:] depvarNa [depvarNb ... =] varlistN [, noconstant]) [if] [in] [
weight] [, options]
Explicit equation naming (eqname:) cannot be combined with multiple dependent variables in
an equation specification.
options Description
------------------------------------------------------------------------------------------
Model
isure iterate until estimates converge
constraints(constraints) apply specified linear constraints
df adj.
small report small-sample statistics
dfk use small-sample adjustment
dfk2 use alternate adjustment
Reporting
level(#) set confidence level; default is level(95)
corr perform Breusch-Pagan test
nocnsreport do not display constraints
display_options control column formats, row spacing, line width, and display
of omitted variables and base and empty cells
Optimization
optimization_options control the optimization process; seldom used
noheader suppress header table from above coefficient table
notable suppress coefficient table
coeflegend display legend instead of statistics
------------------------------------------------------------------------------------------
varlist1, ..., varlistN may contain factor variables; see fvvarlist. You must have the
same levels of factor variables in all equations that have factor variables.
depvar and the varlists may contain time-series operators; see tsvarlist.
bootstrap, by, jackknife, rolling, and statsby are allowed; see prefix.
Weights are not allowed with the bootstrap prefix.
aweights are not allowed with the jackknife prefix.
aweights and fweights are allowed, see weight.
noheader, notable, and coeflegend do not appear in the dialog box.
See [R] sureg postestimation for features available after estimation.
Menu
Statistics > Linear models and related > Multiple-equation models > Seemingly unrelated
regression
Description
sureg fits seemingly unrelated regression models (Zellner 1962; Zellner and Huang 1962;
Zellner 1963). The acronyms SURE and SUR are often used for the estimator.
Options
+-------+
----+ Model +-----------------------------------------------------------------------------
isure specifies that sureg iterate over the estimated disturbance covariance matrix and
parameter estimates until the parameter estimates converge. Under seemingly unrelated
regression, this iteration converges to the maximum likelihood results. If this
option is not specified, sureg produces two-step estimates.
constraints(constraints); see [R] estimation options.
+---------+
----+ df adj. +---------------------------------------------------------------------------
small specifies that small-sample statistics be computed. It shifts the test statistics
from chi-squared and z statistics to F statistics and t statistics. Although the
standard errors from each equation are computed using the degrees of freedom for the
equation, the degrees of freedom for the t statistics are all taken to be those for
the first equation.
dfk specifies the use of an alternate divisor in computing the covariance matrix for the
equation residuals. As an asymptotically justified estimator, sureg by default uses
the number of sample observations (n) as a divisor. When the dfk option is set, a
small-sample adjustment is made and the divisor is taken to be sqrt((n - k_i) * (n -
k_j)), where k_i and k_j are the number of parameters in equations i and j,
respectively.
dfk2 specifies the use of an alternate divisor in computing the covariance matrix for the
equation residuals. When the dfk2 option is set, the divisor is taken to be the mean
of the residual degrees of freedom from the individual equations.
+-----------+
----+ Reporting +-------------------------------------------------------------------------
level(#); see [R] estimation options.
corr displays the correlation matrix of the residuals between equations and performs a
Breusch-Pagan test for independent equations; that is, the disturbance covariance
matrix is diagonal.
nocnsreport; see [R] estimation options.
display_options: noomitted, vsquish, noemptycells, baselevels, allbaselevels, cformat(
%fmt), pformat(%fmt), sformat(%fmt), and nolstretch; see [R] estimation options.
+--------------+
----+ Optimization +----------------------------------------------------------------------
optimization_options control the iterative process that minimizes the sum of squared
errors when isure is specified. These options are seldom used.
iterate(#) specifies the maximum number of iterations. When the number of iterations
equals #, the optimizer stops and presents the current results, even if the
convergence tolerance has not been reached. The default value of iterate(#) is
the current value of set maxiter, which is iterate(16000) if maxiter has not been
changed.
trace adds to the iteration log a display of the current parameter vector.
nolog suppresses the display of the iteration log.
tolerance(#) specifies the tolerance for the coefficient vector. When the relative
change in the coefficient vector from one iteration to the next is less than or
equal to #, the optimization process is stopped. tolerance(1e-6) is the default.
The following options are available with sureg but are not shown in the dialog box:
noheader suppresses display of the header reporting F statistics, R-squared, and root mean
squared error above the coefficient table.
notable suppresses display of the coefficient table.
coeflegend; see [R] estimation options.
Examples
Setup
. sysuse auto
Fit seemingly unrelated regression model
. sureg (price foreign weight length) (mpg foreign weight) (displ foreign weight)
Using a shorthand syntax
. sureg (price foreign weight length) (mpg displ = foreign weight)
Using global macros
. global price (price foreign weight length)
. global mpg (mpg foreign weight)
. global displ (displ foreign weight)
. sureg $price $mpg $displ
With constraints
. constraint 1 [price]foreign = [mpg]foreign
. constraint 2 [price]foreign = [displacement]foreign
. sureg (price foreign length) (mpg displacement = foreign weight), const(1 2)
| 
加好友,备注jltj
京公网安备 11010802022788号
论坛法律顾问：王进律师
知识产权保护声明
免责及隐私声明
发帖
雷达卡
