turn on suggestions

Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.

Showing results for

Find a Community

- Home
- /
- Analytics
- /
- Forecasting
- /
- SUR (seemingly unrelated regression) in SAS

Topic Options

- Subscribe to RSS Feed
- Mark Topic as New
- Mark Topic as Read
- Float this Topic for Current User
- Bookmark
- Subscribe
- Printer Friendly Page

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Highlight
- Email to a Friend
- Report Inappropriate Content

04-09-2013 05:53 PM

HI, all:

I have a question about the technique details of SUR employed in proc syslin or proc model.

We know that SUR will use the cross-equation variance-covariance matrix to do the estimation. However, if I have more equations that number of observations (in each equations). For example, I have 30 equations and 20 observations in each equation. The variance covariance matrix would be 30 by 30. However, I only have the matrix of residuals as 30*20. In this case, would the variance covariance matrix used in SUR be deficient? How does SAS deal with this problem? I expect there should be at least some warning from SAS, but it is not.

Thanks,

Jing

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Highlight
- Email to a Friend
- Report Inappropriate Content

04-11-2013 04:49 PM

Hi Jing,

I spoke with the developer of proc model and he had this response, "

For the SUR method MODEL computes a pseudo inverse of the OLS

residuals’ covariance matrix. When the OLS covariance matrix is

singular a warning is produced explaining which equations’ rows in the

covariance matrix are linearly dependent, and PROC MODEL continues with

the SUR estimation of parameters. If the user isn’t getting this warning

message for a known deficient matrix then something else is going on "

He also requested that he would be happy to look at your code and data if you wouldn't mind providing and example of the issue. - Ken