Hi All,
I am using Eviews10. Beginner user. Learning how to use the Seemingly Unrelated Regression (SUR).
Is it possible have different sample within a system (SUR)?
Example:
y = c(1) + c(2)*x {sample 1}
y = c(3) + c(4)*x {sample 2}
The main purpose is to compare C(2) against C(4). i.e. C(2)-C(4)=0
Kind regards,
Chee
SUR with different sample
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Re: SUR with different sample
No.
Of course you can always lag your variables.
Of course you can always lag your variables.
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- Non-normality and collinearity are NOT problems!
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Re: SUR with different sample
Copy x into x1 for the first sample, leaving NA elsewhere. Then the same for x into x2 for the second sample.
Note that all that's really going on is a fancy way of doing least squares on each equation.
Note that all that's really going on is a fancy way of doing least squares on each equation.
Re: SUR with different sample
Hi Startz,
Can you provide a bit more clarification about your suggestion.
Sample 1 doesn't overlap with sample 2.
y = c(1) + c(2)*x {sample 1: large firms}
y = c(3) + c(4)*x {sample 2: small firms}
Kind regards,
Chee
Can you provide a bit more clarification about your suggestion.
Sample 1 doesn't overlap with sample 2.
y = c(1) + c(2)*x {sample 1: large firms}
y = c(3) + c(4)*x {sample 2: small firms}
Kind regards,
Chee
-
- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: SUR with different sample
smpl 1 100
series x1 = x
smpl 101 200
series x2 = x
smpl @all
y = c(1) + c(2)*x1
y = c(3) + c(4)*x2
series x1 = x
smpl 101 200
series x2 = x
smpl @all
y = c(1) + c(2)*x1
y = c(3) + c(4)*x2
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