10:42 a.m.
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,
Cheers,
Jean-Baptiste
1:09 p.m.
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
12:55 p.m.
Hello,
Thank you very much for your answers. That is really appreciated,
Jean-Baptiste
On 30 March 2011 15:09, Riccardo (Jack) Lucchetti <r.lucchetti(a)univpm.it>wrote:
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
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Jean-Baptiste Combes -
Riccardo (Jack) Lucchetti