The SYSLIN Procedure
- Overview
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Getting Started
An Example ModelVariables in a System of EquationsUsing PROC SYSLINOLS EstimationTwo-Stage Least Squares EstimationLIML, K-Class, and MELO EstimationSUR, 3SLS, and FIML EstimationComputing Reduced Form EstimatesRestricting Parameter EstimatesTesting ParametersSaving Residuals and Predicted ValuesPlotting Residuals -
Syntax
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Details
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Examples
- References
References
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Basmann, R. L. (1960). “On Finite Sample Distributions of Generalized Classical Linear Identifiability Test Statistics.” Journal of the American Statistical Association 55:650–659.
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Fuller, W. A. (1977). “Some Properties of a Modification of the Limited Information Estimator.” Econometrica 45:939–952.
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Hausman, J. A. (1975). “An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models.” Econometrica 43:727–738.
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Johnston, J. (1984). Econometric Methods. 3rd ed. New York: McGraw-Hill.
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Judge, G. G., Griffiths, W. E., Hill, R. C., Lütkepohl, H., and Lee, T.-C. (1985). The Theory and Practice of Econometrics. 2nd ed. New York: John Wiley & Sons.
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Maddala, G. S. (1977). Econometrics. New York: McGraw-Hill.
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Park, S.-B. (1982). “Some Sampling Properties of Minimum Expected Loss (MELO) Estimators of Structural Coefficients.” Journal of Econometrics 18:295–311.
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Pindyck, R. S., and Rubinfeld, D. L. (1981). Econometric Models and Econometric Forecasts. 2nd ed. New York: McGraw-Hill.
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Pringle, R. M., and Rayner, A. A. (1971). Generalized Inverse Matrices with Applications to Statistics. New York: Hafner Publishing.
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Rao, P. (1974). “Specification Bias in Seemingly Unrelated Regressions.” In Econometrics and Economic Theory: Essays in Honour of Jan Tinbergen, edited by W. Sellekaerts, 101–113. White Plains, NY: International Arts and Sciences Press.
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Savin, N. E., and White, K. J. (1978). “Testing for Autocorrelation with Missing Observations.” Econometrica 46:59–67.
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Theil, H. (1971). Principles of Econometrics. New York: John Wiley & Sons.
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Zellner, A. (1962). “An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias.” Journal of the American Statistical Association 57:348–368.
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Zellner, A. (1978). “Estimation of Functions of Population Means and Regression Coefficients: A Minimum Expected Loss (MELO) Approach.” Journal of Econometrics 8:127–158.
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Zellner, A., and Park, S.-B. (1979). “Minimum Expected Loss (MELO) Estimators for Functions of Parameters and Structural Coefficients of Econometric Models.” Journal of the American Statistical Association 74:185–193.