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.