EViews.com

Good day to all,

I have a question regarding seemingly unrelated regressions (SUR).

I am trying to estitmate a SUR-Model for some financial indexes. For this reason, I already derived VAR residuals from some conventional macroeconomic time serieses (e.g. Term-Spread) as inputs (innovations) for the SUR-Model.

The System looks like the following example:

emerging_markets = c(1) + c(2)*world_market + c(3)*term
frontier_markets = c(4) + c(2)*world_market + c(3)*term

After creating a system and estimating it via the E-View's SUR fuctionality, I get the estimation output, of course, which works perfectly.

However my first question is, are the corresponding t-statistics robust estimates (autocorrelation and heteroscedasticity and which method does e-views use, Newey/West?), so that the inferences are statistically ok? Checking the residuals for serial correlation (Box-Pierce-Ljung Test and Durbin Watson), reveals significant correlations. Unfortunately testing for normality in the residuals, does reject the null.

My second question is, how I will be able to extract the coefficient estimates for the individual equations?
e.g. a table like the following
c c(2) c(3)
emerging markets 0,04 0,65 0,45
t-stats (2,01) (4,56) (1,72)

frontier_markets -0,01 0,32 -0,02
t-stats (-1,82) (2,03) (1,51)

Many thanks in advance.

Kind Regards,

Jan

hello

pleaaseeeeeeeeeeee i need your help pleaaase
i want to know how to use SURE estimetion in eviews

Good day to all,

I have a question regarding seemingly unrelated regressions (SUR).

I am trying to estitmate a SUR-Model for some financial indexes. For this reason, I already derived VAR residuals from some conventional macroeconomic time serieses (e.g. Term-Spread) as inputs (innovations) for the SUR-Model.

The System looks like the following example:

emerging_markets = c(1) + c(2)*world_market + c(3)*term
frontier_markets = c(4) + c(2)*world_market + c(3)*term

After creating a system and estimating it via the E-View's SUR fuctionality, I get the estimation output, of course, which works perfectly.

However my first question is, are the corresponding t-statistics robust estimates (autocorrelation and heteroscedasticity and which method does e-views use, Newey/West?), so that the inferences are statistically ok? Checking the residuals for serial correlation (Box-Pierce-Ljung Test and Durbin Watson), reveals significant correlations. Unfortunately testing for normality in the residuals, does reject the null.

My second question is, how I will be able to extract the coefficient estimates for the individual equations?
e.g. a table like the following
c c(2) c(3)
emerging markets 0,04 0,65 0,45
t-stats (2,01) (4,56) (1,72)

frontier_markets -0,01 0,32 -0,02
t-stats (-1,82) (2,03) (1,51)

Many thanks in advance.

Kind Regards,

Jan

The standard errors correct for cross-equation correlation. They do not correct for heteroskedasticity or serial correlation.

Notice that in your example the same coefficient applies to world_market in both equations, but you show different estimates in your example table.

I don't believe EViews has a facility to format tables as you describe.