Hi all,
I'm using Splus 7.0 with Finmetrics 2.0 runing in Windows XP Professional.
I've searched the s-news archives and have not found an answer to either
question.
1) Is there any way to apply a Newey-West HAC covariance matrix estimate to
a SUR (or a NLSUR) regression model? (N.B. This question was asked over in
the r-help list back in Oct. 2007, but it did not appear that methods were
available there)
2) The formula list for SUR() does not permit the inclusion of ar() terms
but does let me use a tslag(). E.g.:
y1 ~ x1 + tslag(y1,1)
y2 ~ x2 + tslag(y2,1)
y3 ~ x3 + tslag(y3,1)
But, just because I'm allowed to do it, doesn't mean I should. Am I
violating any of the SUR or NLSUR assumptions by doing this? Are the
statistical tests still valid?
Any advice you might have would be hugely appreciated!
cheers,
Andy
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