Hi all!
I want to do the following:
I have 3 time series of dependent variables (e1,e2,e3). I have 2 time series of explanatory variables (f1,f2). I have 6 additional time series of explanatory variables (m1,m2,m3 and r1, r2, r3). Hereby, r1 and m1 correspond to e1 and so on.
I want to estimate the following regression system:
e1 = c(1) + c(2)*f1 + c(3)*f2 + c(4)*m1 + c(5)*r1
e1 = c(6) + c(7)*f1 + c(8)*f2 + c(4)*m2 + c(5)*r2
e1 = c(9) + c(10)*f1 + c(11)*f2 + c(4)*m3 + c(5)*r3
The variables e1, e2 and e3 have common coefficients in the m and r variables and specific coefficients in the intercepts and the f1 and f2 variable.
I want to estimate this as a system of seemingly unrelated regressions with feasible generalized least squares. In addition, I want to apply the Newey-West estimator of the covariance matrix to correct for autocorrelations.
This is how I proceed: I create a systems object from object/new object/system. I type in the specification written above. Then I hit the button Estimate. Then I choose Seemingly Unrelated Regression.
Now here is my question: why can't I then choose the option generalized least squares? Why can't I choose to correct with the Newey-West method?
I thank you very much for your valuable time. An answer would be most helpful!
Kind regards
Martin
Interpretation of coefficients in SUR
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Interpretation of coefficients in SUR
Martin B wrote:
Now here is my question: why can't I then choose the option generalized least squares?
Not quite sure what you mean by this, aren't GLS and ML estimation the same for SUR, or am I misunderstanding what you want?
Martin B wrote: Why can't I choose to correct with the Newey-West method?
Simple answer is that we haven't implemented it. EViews 7 will have this feature.
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Re: Interpretation of coefficients in SUR
Thank you very much for your answer!
So when applying SUR there is no need to set for GLS. Am I right?
How can I then correct for autocorrelation, if Newey-West is not implemented yet?
Thank you very much!
Kind regards
Martin
So when applying SUR there is no need to set for GLS. Am I right?
How can I then correct for autocorrelation, if Newey-West is not implemented yet?
Thank you very much!
Kind regards
Martin
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13317
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Interpretation of coefficients in SUR
Martin B wrote:Thank you very much for your answer!
So when applying SUR there is no need to set for GLS. Am I right?
right.
Martin B wrote:
How can I then correct for autocorrelation, if Newey-West is not implemented yet?
Unfortunately, you can't...
Follow us on Twitter @IHSEViews
Re: Interpretation of coefficients in SUR
Ok, let me quickly review the system I posted:
e1 = c(1) + c(2)*f1 + c(3)*f2 + c(4)*m1 + c(5)*r1
e2 = c(6) + c(7)*f1 + c(8)*f2 + c(4)*m2 + c(5)*r2
e3 = c(9) + c(10)*f1 + c(11)*f2 + c(4)*m3 + c(5)*r3
Is there another option in Eviews to allow for correlation among the error terms of the three equations and to correct for autocorrelation in the error terms of a given equation (e.g. in the first equation)?
I have relatively strong autocorrelation. So this is kind of important...
Many thanks
Kind regards
M
e1 = c(1) + c(2)*f1 + c(3)*f2 + c(4)*m1 + c(5)*r1
e2 = c(6) + c(7)*f1 + c(8)*f2 + c(4)*m2 + c(5)*r2
e3 = c(9) + c(10)*f1 + c(11)*f2 + c(4)*m3 + c(5)*r3
Is there another option in Eviews to allow for correlation among the error terms of the three equations and to correct for autocorrelation in the error terms of a given equation (e.g. in the first equation)?
I have relatively strong autocorrelation. So this is kind of important...
Many thanks
Kind regards
M
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- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: Interpretation of coefficients in SUR
Martin B wrote:Ok, let me quickly review the system I posted:
e1 = c(1) + c(2)*f1 + c(3)*f2 + c(4)*m1 + c(5)*r1
e2 = c(6) + c(7)*f1 + c(8)*f2 + c(4)*m2 + c(5)*r2
e3 = c(9) + c(10)*f1 + c(11)*f2 + c(4)*m3 + c(5)*r3
Is there another option in Eviews to allow for correlation among the error terms of the three equations and to correct for autocorrelation in the error terms of a given equation (e.g. in the first equation)?
I have relatively strong autocorrelation. So this is kind of important...
Many thanks
Kind regards
M
Just write out the serial correlation by hand. For example, the first equation could be written
Code: Select all
e1 = c(1)*(1-c(20)) + c(2)*(f1-c(20)*f1(-1)) + c(3)*(f2-c(20)*f2(-1)) + c(4)*(m1-c(20)*m1(-1)) + c(5)*(r1-c(20)*r1(-1)) + c(20)*e1(-1)
where c(20) is the serial correlation coefficient.
Re: Interpretation of coefficients in SUR
I thank you very, very much!
Your advice was most helpful. Now I have the Durbin-Watsons that I want;-)
Kind regards
M
Your advice was most helpful. Now I have the Durbin-Watsons that I want;-)
Kind regards
M
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