703 Lecture 20 - (Condensed to unrelated regression (SUR)....

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Res Ec 703: Econometrics Order Of Topics And Readings For Lecture 20, November 16, 2010 Source Pages Topic BM 104 Set-up for Zellner estimation SAS The SYSLIN Procedure How does SAS deal with SYStems of LINear equations? (13 pages) BM 105 How to write SAS programs that mimic BM p.104 GHJ 561 Testing for contemporaneous correlation Assignment Page 564, problem 17.4: parts a,b,c,d,e, and i. 8 I am providing you with a one-page description. Assignment 8 is due November 23. Note: When you are asked to compute the precision (covariance) matrix for a particular equation, use the “covb” option in SAS. Put this in the “model” statement after the slash. Zellner 348, 363 The items above are presented in Zellner’s paper on seemingly
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Unformatted text preview: (Condensed to unrelated regression (SUR). I am providing you with the Intro- one page) duction (page 348) and Conclusion (page 363) of his classic paper. These pages state the specific conditions under which SUR estimates lead to gains in efficiency relative to OLS. BM 106-108 Deriving the variance of the SUR estimator for eventual com- parison with the variance of the OLS estimator BM 109 Comparing variances of regression coefficients between OLS and SUR models Kmenta 639-643 . Original source for BM pages 106-109. (Condensed to . These pages specify the precise conditions under which two pages) SUR leads to gains in efficiency relative to OLS. . Note that these pages support Zellner pages 348 and 363....
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This note was uploaded on 12/08/2011 for the course ECON 703 taught by Professor Bernardmorzuch during the Fall '10 term at UMass (Amherst).

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