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
- /
- Stat Procs
- /
- Specifying the Covariance Structure in PROC MODEL ...

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

10-01-2009 01:19 PM

I am running an iterated SUR model in PROC MODEL. The data is a panel of state data over 35 years. I would like to make a restriction on the Var-Cov Matrix such that the Var-Cov is calculated across states in a given time period, and is zero across time periods.

From "The MODEL Procedure" SAS Doc, it looks like I can specify a Var-Cov matrix using the SDATA= option (pg 729). But I don't think this will be helpful if I want to iterate.

It also looks like I can specify the Var-Cov structure using "h." (pg 769), but this appears to only work for single equation models and the one I am working with has multiple equations.

Any ideas?

Thanks

From "The MODEL Procedure" SAS Doc, it looks like I can specify a Var-Cov matrix using the SDATA= option (pg 729). But I don't think this will be helpful if I want to iterate.

It also looks like I can specify the Var-Cov structure using "h." (pg 769), but this appears to only work for single equation models and the one I am working with has multiple equations.

Any ideas?

Thanks