Thanks to all who replied to my query on SUR. The software packages
recommended are Stata, Eviews, TSP, RATS and Limdep.
V.K.Srivastava & D.E.A.Giles "Seemingly Unrelated Regression Equation
Models", Marcel Dekker 1987 is a good reference
You will find references to SUR models in most books on econometrics -
a useful introduction is given by Baltagi in his 1999 book (published
by Springer, but and called something along the lines of -
Introduction to econometrics).
- Bayesian analysis of systems of seemingly unrelated regression
equations under a recursive extended natural conjugate prior
density, J.F. Richard and M.F.J. Steel, Journal of
Econometrics, 38, (1988), 7-37.
- Posterior analysis of restricted seemingly unrelated regression
equation models: A recursive analytical approach, M. Steel,
Econometric Reviews, 11, (1992), 129-142.
I wrote a paper in JRSS series B (1992), 54, 243-252, called
"Prediction for Seemingly Unrelated Regressions". Other Bayesian
(non-predictive) discussions of this model appear in the books by
Zellner (1996) "An Introduction to Bayesian Inference in
Econometrics", Press (1972) "Applied Multivariate Analysis" and
Box & Tiao (1992) "Bayesian Inference in Statistical Analysis". A
classical analysis of the SUR model is in the book by Srivastava &
Giles (1987) "Seemingly Unrelated Regression Equations Models".
Have fun!
Dr David F. Percy,
The software packages recommended are Stata, Eviews, TSP, RATS and Limdep.
Regards
Glenn Treacy
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