Resources

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| Unpublished thesis, Chicago, 1958                          |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;