SYSTEM estimation: WLS vs. SUR

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chungrak9
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Joined: Sat May 31, 2014 9:09 am

SYSTEM estimation: WLS vs. SUR

Postby chungrak9 » Tue Jul 15, 2014 2:26 pm

Hello. What are the differences between "Weighted Least Squares" method and "Seemingly Unrelated Regression" method?

I had a pool estimation with the following settings:
Estimation method = cross-section weights
Covariance method = cross-section SUR (PCSE)

Then, I specified the same models in a system object, because I wanted to yield the same results from a system estimation. What confused me was the fact that I had to choose the 'Estimation method' of "Weighted Least Squares (WLS)" instead of "Seemingly Unrelated Regression (SUR)" to replicate the results. I find that the manual refers to the "WLS" method as "Cross-equation weighting" method.

So, I'm confused. When I ran the pool estimation, I thought I chose SUR. However, the system estimation says that it was not SUR but weighted least squares? Please let me know why this happens.

Thank you very much.
Rakkoo

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