Hi,
I am trying to estimate and forecast a system of market shares equations (J) with the same RHS exogenous regressors. As the market shares sum up to 1, I will be dropping one equation and estimating J1 equations instead.
The EViews help manual says that "since the system of equations may contain crossequation restrictions on parameters."
So, I am wondering if a constraint stating that all market shares sum up to 1 needs to be imposed. And, if so, how should this constraint be written out?
I am using EViews 10.
Any help would be much appreciated.
Thanks!
SUR estimation for shares that sum up to 1
Moderators: EViews Gareth, EViews Moderator

 Posts: 20
 Joined: Tue Feb 10, 2015 10:11 pm

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11765
 Joined: Tue Sep 16, 2008 5:38 pm
Re: SUR estimation for shares that sum up to 1
If you have alpha, beta and gamma and you want to impose that they sum to 1, just rewrite them as alpha, beta and (1alphabeta).
Follow us on Twitter @IHSEViews

 Posts: 20
 Joined: Tue Feb 10, 2015 10:11 pm
Re: SUR estimation for shares that sum up to 1
Thanks Gareth!
Do I have to drop the Gamma equation as alpha, beta and gamma sums up to 1 in my SUR estimation?
So, is this what I end up estimating?
model.append alpha = my usual regressors
model.append beta = my usual regressors
model.append @identity gamma = 1alphabeta
Won’t gamma be an identity then, which SUR won’t allow?
OR
model.append alpha = my usual regressors
model.append beta = my usual regressors
model.append 1alphabeta = my usual regressors
Thanks!
Do I have to drop the Gamma equation as alpha, beta and gamma sums up to 1 in my SUR estimation?
So, is this what I end up estimating?
model.append alpha = my usual regressors
model.append beta = my usual regressors
model.append @identity gamma = 1alphabeta
Won’t gamma be an identity then, which SUR won’t allow?
OR
model.append alpha = my usual regressors
model.append beta = my usual regressors
model.append 1alphabeta = my usual regressors
Thanks!

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11765
 Joined: Tue Sep 16, 2008 5:38 pm
Re: SUR estimation for shares that sum up to 1
Ah, sorry, I thought you wanted the coefficients to sum to one, not the variables. I’m now not sure I understand what you are trying to do
Follow us on Twitter @IHSEViews

 Posts: 20
 Joined: Tue Feb 10, 2015 10:11 pm
Re: SUR estimation for shares that sum up to 1
Hi!
I’m trying to estimate a SUR system of market shares. But, as they sum up to 1, I know I’ve to drop an equation to avoid singularity. But, in doing so,
 should I impose a constraint in the system such that the shares still add up to 1, even though I’ve dropped an equation out.
 I’ve tried dropping different shares equations out. To get the remaining share that’s dropped out, I’ve just used 1 sun(shares forecasts from system). But, the remaining share forecast is always different depending on what’s dropped out. I’ve thought it’ll be the same as I’ve the same regressors.
I’m trying to estimate a SUR system of market shares. But, as they sum up to 1, I know I’ve to drop an equation to avoid singularity. But, in doing so,
 should I impose a constraint in the system such that the shares still add up to 1, even though I’ve dropped an equation out.
 I’ve tried dropping different shares equations out. To get the remaining share that’s dropped out, I’ve just used 1 sun(shares forecasts from system). But, the remaining share forecast is always different depending on what’s dropped out. I’ve thought it’ll be the same as I’ve the same regressors.

 Posts: 20
 Joined: Tue Feb 10, 2015 10:11 pm
Re: SUR estimation for shares that sum up to 1
EViews Gareth wrote:Ah, sorry, I thought you wanted the coefficients to sum to one, not the variables. I’m now not sure I understand what you are trying to do
Hi! Just wondering it’ll be able to get some help on this:
 I’ve Alpha, beta and gamma shares that add up to 1. I have the same explanatory variables for all of them plus one variable specific to each of the shares.
 to avoid the singularity issue, I dropped one equation. But I realise my results change depending on which equation I drop. Why? When I drop alpha, what I did to get the forecast alpha share is 1 beta  gamma.
 are there restrictions I should place in a SUR system like this to estimate these equations? And how can I do that? I’ve read a few articles on electrical parties and goods market shares where authors have excluded one equation to avoid singularity but no mention of restrictions to be placed.
Any help will be great. Thanks.

 Posts: 20
 Joined: Tue Feb 10, 2015 10:11 pm
Re: SUR estimation for shares that sum up to 1
EViews Gareth wrote:Ah, sorry, I thought you wanted the coefficients to sum to one, not the variables. I’m now not sure I understand what you are trying to do
Hi Gareth,
Just wondering if you understand what I am trying to do now. See posts below?
Thanks!

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11765
 Joined: Tue Sep 16, 2008 5:38 pm
Re: SUR estimation for shares that sum up to 1
I do not. But someone might.
Follow us on Twitter @IHSEViews
Who is online
Users browsing this forum: No registered users and 4 guests