SUR with different sample

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ccheong
Posts: 2
Joined: Mon Jan 15, 2018 5:38 pm

SUR with different sample

Postby ccheong » Tue Jan 16, 2018 5:40 am

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

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11848
Joined: Tue Sep 16, 2008 5:38 pm

Re: SUR with different sample

Postby EViews Gareth » Tue Jan 16, 2018 9:00 am

No.

Of course you can always lag your variables.
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startz
Non-normality and collinearity are NOT problems!
Posts: 3374
Joined: Wed Sep 17, 2008 2:25 pm

Re: SUR with different sample

Postby startz » Tue Jan 16, 2018 9:28 am

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.

ccheong
Posts: 2
Joined: Mon Jan 15, 2018 5:38 pm

Re: SUR with different sample

Postby ccheong » Tue Jan 16, 2018 5:09 pm

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

startz
Non-normality and collinearity are NOT problems!
Posts: 3374
Joined: Wed Sep 17, 2008 2:25 pm

Re: SUR with different sample

Postby startz » Tue Jan 16, 2018 6:31 pm

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


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