On Fri, 30 May 2014, Sven Schreiber wrote: This is vary simplified example, which implements the most naive variant of the bootstrap. Maybe you can build on this. <hansl> nulldata 256 set seed 365357 # --- generate a two-equation example sur ----- scalar rho = 0.5 series x1 = normal() series x2 = normal() series x3 = normal() series e1 = normal() series e2 = rho * e1 + sqrt(1-rho^2) * normal() series y1 = 2 + x1 + x2 + e1 series y2 = -2 + x1 + x3 + e2 # --- do estimation ----- "MySUR" <- system equation y1 const x1 x2 equation y2 const x1 x3 end system estimate "MySUR" method=sur npar = rows($coeff) # --- simple pairs bootstrap ---------- list DATA = y1 y2 x1 x2 x3 matrix mDATA = {DATA} scalar repli = 3999 matrix boot = zeros(repli, npar) loop r=1..repli --quiet matrix xtr = ceil(muniform($nobs,1) .* $nobs) c = 1 loop foreach i DATA --quiet series $i = mDATA[xtr,c] c++ endloop estimate "MySUR" method=sur --quiet boot[r,] = $coeff' endloop V = mcov(boot) stderr = sqrt(diag(V)) print stderr summary --matrix=boot </hansl> ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------