Hello,
I am estimating a system of equations using the SUR method. In my program I need to pick up the standard errors of some estimated coefficients. I am using @stdderrs(i) to do so but it appears that the index i goes from the first to the last coefficient of a given equation. How can I ask for, e.g., the first coefficient of the second equation?
To illustrate, suppose that we have the following system:
y1 = c(1) + c(2) x1 + c(3) x2 + c(4) x3 + e1
y2 = c(5) + c(6) x1 + c(7) x2 + c(8) x3 + e2
Asking for the standard error of the intercept in the 2d equation by using @stdderrs(5) leads to an error message stating that 5 is not a valid index for vector-series-coefficient.
Thank you for your help.
Best regards
picking up the s.e. of a coefficient in a system estimation
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Re: picking up the s.e. of a coefficient in a system estimation
Seems to work just fine?
Code: Select all
wfcreate u 100
series y1=nrnd
series y2=nrnd
for !i=1 to 3
series x{!i}=nrnd
next
system s
s.append y1 = c(1) + c(2)*x1 + c(3)*x2 + c(4)*x3
s.append y2 = c(5) + c(6)*x1 + c(7)*x2 + c(8)*x3
s.ls
scalar test = s.@stderrs(5)
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Re: picking up the s.e. of a coefficient in a system estimation
Yes, it works fine, thanks!!!
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