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explosys

Transformation of sur equations

CALLING SEQUENCE

[x,y,boundsvarb,prests,listcoef,namey,ncoefeqs]=explosys(namecoef,specara,speccarb,uneven,dropna,arg1,...,argn)

PARAMETERS

Input

* namecoef = column vector of coefficients name

* speccara = column vector of characters that must be found after the name of a coefficient

* speccarb = column vector of characters that must befound after the name of a coefficient

* uneven = a boolean indicating whether the equations should keep their time bounds or must have common bounds

* dropna = a boolean indicating whether the program should keep only lines of matrices y and x with non NA values

* argi = an equation containing the coefficients named in namecoef or 'unbal' for un unabalanced panel in a sur estimation (in that case must be in the first position)

 

Output

* x = (nobs x k) matrix of exogenous variables in the complete model

* y = (nobs x 1) vector of endogenous variables in the complete model

* boundsvarb = bounds (if any) of the regression

* prests = a boolean indicating the presence or absence of ts in the regressions

* listcoef = list of indexes of the coefficients in each equation

* namey = column vector of the names of the endogenous variables

* ncoefeqs = column vector of the # of coefficients in each equation

DESCRIPTION

From a series of equations retrieve the matrix of exogenous variables, taking into acount the constraints (if any) imposed on the coefficients; the equations must be linear in the coefficients.

EXAMPLE

load(GROCERDIR+'/data/grun.dat')
// grunfeld investment data
// see page 650, Green 1997
 
ige  = grun(:,1); // general electric
fge = grun(:,2);
cge = grun(:,3);
 
iwest  = grun(:,4); // westinghouse
fwest = grun(:,5);
cwest = grun(:,6);
 
igm  = grun(:,7); // general motors
fgm = grun(:,8);
cgm = grun(:,9);
 
ich  = grun(:,10); // chrysler
fch = grun(:,11);
cch = grun(:,12);
 
iuss  = grun(:,13); // us steel
fuss = grun(:,14);
cuss = grun(:,15);
 
 
eq1='igm=a1*fgm+a2*cgm+a3'
eq2='ich=a4*fch+a5*cch+a6'
eq3='ige=a7*fge+a8*cge+a9'
eq4='iwest=a10*fwest+a11*cwest+a12'
eq5='iuss=a13*fuss+a14*cuss+a15'
 
[x,y,grocer_boundsvarb,grocer_prests,listcoef,namey,ncoefeqs]=explosys('a'+string([1:15]'),['+' ; '-' ; '*' ; '/' ; ')'],...
                                                              ['=' ; '+' ; '(' ; '-' ; '*'],%f,%f,eq1,eq2,eq3,eq4,eq5)
 
[x,y,grocer_boundsvarb,grocer_prests,listcoef,namey,ncoefeqs]=...
explosys(grocer_namecoef,grocer_speccara,grocer_speccarb,varargin(:))
// This example is adapted from function sur_d, applying the sur method to Greene textbook example.

AUTHOR

Eric Dubois 2002-2006

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