Re: [Gretl-users] SUR models what methods is used?

On Wed, 30 Mar 2011, Jean-Baptiste Combes wrote: Dear all, > > I have been using Gretl recently to estimate proportion of staff, I have > three groups and the sum of the three > proportion equals to 1. According to Wooldridge (2002) this can of "share" > systems can be estimated by SUR models > with Feasible GLS estimation (p. 167). Accordingly I can remove one > equation. > > This is one of the models I estimate > "Skill-Mix Gap" <- system > equation pNHDfteHT2 const cvnbbeds avgnbbeds nbhospital Found TypeHT_1 > TypeHT_2 TypeHT_4 TypeHT_5 gapNCo0305recod > gapHCo0305recod gapMCo0305recod > equation pHDNfteHT2 const cvnbbeds avgnbbeds nbhospital Found TypeHT_1 > TypeHT_2 TypeHT_4 TypeHT_5 gapNCo0305recod > gapHCo0305recod gapMCo0305recod > endog pNHDfteHT2 pHDNfteHT2 > instr const cvnbbeds avgnbbeds nbhospital Found TypeHT_1 TypeHT_2 TypeHT_4 > TypeHT_5 gapNCo0305recod > gapHCo0305recod gapMCo0305recod > end system > > estimate "Skill-Mix Gap" method=sur --iterate > > The estimation is computed, no problems > > I put iterate but the estimation is done with just one iteration. In the > command GRETL reference book I read that > with iterate the estimation is the maximum likelihood one. > > I am completely lost because I would like to know how does that work, I > would prefer to have FGLS as in > Wooldridge (my reference book in econometrics). > > There is not so much information around (or at least I have not found it) > about how SUR are being estimated. > > If someone could help me, that would be great, I am presenting tomorrow > and I am a bit nervous, > Maybe I'm missing something, but it would seem that your equation have all the same regressors and no restrictions. In this case, SUR is equivalent to equation-by-equation OLS: this result is well known and can be proven easily (see eg section 14.2.2 in Greene's textbook). Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users