Programming the statistical procedures from SAS

Specifying the Covariance Structure in PROC MODEL / ITSUR

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Specifying the Covariance Structure in PROC MODEL / ITSUR

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
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