Grunfeld's Model Estimated with SUR
/*--------------------------------------------------------------
SAS Sample Library
Name: sysex02.sas
Description: Example program from SAS/ETS User's Guide,
The SYSLIN Procedure
Title: Grunfeld's Model Estimated with SUR
Product: SAS/ETS Software
Keys: interdependent system
of linear regression equations
PROC: SYSLIN
Notes:
--------------------------------------------------------------*/
*---------Zellner's Seemingly Unrelated Technique------------*
| A. Zellner, "An Efficient Method of Estimating Seemingly |
| Unrelated Regressions and Tests for Aggregation Bias," |
| JASA 57(1962) pp.348-364 |
| |
| J.C.G. Boot, "Investment Demand: an Empirical Contribution |
| to the Aggregation Problem," IER 1(1960) pp.3-30. |
| |
| Y. Grunfeld, "The Determinants of Corporate Investment," |
| Unpublished thesis, Chicago, 1958 |
*------------------------------------------------------------*;
data grunfeld;
input year ge_i ge_f ge_c wh_i wh_f wh_c;
label ge_i = 'Gross Investment, GE'
ge_c = 'Capital Stock Lagged, GE'
ge_f = 'Value of Outstanding Shares Lagged, GE'
wh_i = 'Gross Investment, WH'
wh_c = 'Capital Stock Lagged, WH'
wh_f = 'Value of Outstanding Shares Lagged, WH';
datalines;
1935 33.1 1170.6 97.8 12.93 191.5 1.8
1936 45.0 2015.8 104.4 25.90 516.0 .8
1937 77.2 2803.3 118.0 35.05 729.0 7.4
1938 44.6 2039.7 156.2 22.89 560.4 18.1
1939 48.1 2256.2 172.6 18.84 519.9 23.5
1940 74.4 2132.2 186.6 28.57 628.5 26.5
1941 113.0 1834.1 220.9 48.51 537.1 36.2
1942 91.9 1588.0 287.8 43.34 561.2 60.8
1943 61.3 1749.4 319.9 37.02 617.2 84.4
1944 56.8 1687.2 321.3 37.81 626.7 91.2
1945 93.6 2007.7 319.6 39.27 737.2 92.4
1946 159.9 2208.3 346.0 53.46 760.5 86.0
1947 147.2 1656.7 456.4 55.56 581.4 111.1
1948 146.3 1604.4 543.4 49.56 662.3 130.6
1949 98.3 1431.8 618.3 32.04 583.8 141.8
1950 93.5 1610.5 647.4 32.24 635.2 136.7
1951 135.2 1819.4 671.3 54.38 723.8 129.7
1952 157.3 2079.7 726.1 71.78 864.1 145.5
1953 179.5 2371.6 800.3 90.08 1193.5 174.8
1954 189.6 2759.9 888.9 68.60 1188.9 213.5
;
/*-- Seemingly Unrelated Regression --*/
proc syslin data=grunfeld sur;
ge: model ge_i = ge_f ge_c;
westing: model wh_i = wh_f wh_c;
run;