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Example 19.2: Grunfeld's Model Estimated with SUR

The following example was used by Zellner in his classic 1962 paper on seemingly unrelated regressions. Different stock prices often move in the same direction at a given point in time. The SUR technique may provide more efficient estimates than OLS in this situation.

The following statements read the data. (The prefix GE stands for General Electric and WH stands for Westinghouse.)

   *---------Zellner's Seemingly Unrelated Technique------------*
   | A. Zellner, "An Efficient Method of Estimating Seemingly   |
   | Unrelated Regressions and Tests for Aggregation Bias,"     |
   | JASA 57(1962) pp.348-364                                   |
   |                                                            |
   | J.C.G. Boot, "Investment Demand: an Empirical Contribution |
   | to the Aggregation Problem," IER 1(1960) pp.3-30.          |
   |                                                            |
   | Y. Grunfeld, "The Determinants of Corporate Investment,"   |
   | Unpublished thesis, Chicago, 1958                          |                      |
   *------------------------------------------------------------*;
   
   data grunfeld;
      input year ge_i ge_f ge_c wh_i wh_f wh_c;
      label ge_i = 'Gross Investment, GE'
            ge_c = 'Capital Stock Lagged, GE'
            ge_f = 'Value of Outstanding Shares Lagged, GE'
            wh_i = 'Gross Investment, WH'
            wh_c = 'Capital Stock Lagged, WH'
            wh_f = 'Value of Outstanding Shares Lagged, WH';
      cards;
   1935     33.1      1170.6    97.8      12.93     191.5     1.8
   1936     45.0      2015.8    104.4     25.90     516.0     .8
   1937     77.2      2803.3    118.0     35.05     729.0     7.4
   1938     44.6      2039.7    156.2     22.89     560.4     18.1
   1939     48.1      2256.2    172.6     18.84     519.9     23.5
   1940     74.4      2132.2    186.6     28.57     628.5     26.5
   1941     113.0     1834.1    220.9     48.51     537.1     36.2
   1942     91.9      1588.0    287.8     43.34     561.2     60.8
   1943     61.3      1749.4    319.9     37.02     617.2     84.4
   1944     56.8      1687.2    321.3     37.81     626.7     91.2
   1945     93.6      2007.7    319.6     39.27     737.2     92.4
   1946     159.9     2208.3    346.0     53.46     760.5     86.0
   1947     147.2     1656.7    456.4     55.56     581.4     111.1
   1948     146.3     1604.4    543.4     49.56     662.3     130.6
   1949     98.3      1431.8    618.3     32.04     583.8     141.8
   1950     93.5      1610.5    647.4     32.24     635.2     136.7
   1951     135.2     1819.4    671.3     54.38     723.8     129.7
   1952     157.3     2079.7    726.1     71.78     864.1     145.5
   1953     179.5     2371.6    800.3     90.08     1193.5    174.8
   1954     189.6     2759.9    888.9     68.60     1188.9    213.5
   ;

The following statements compute the SUR estimates for the Grunfeld model.

   proc syslin data=grunfeld sur;
      ge:      model ge_i = ge_f ge_c;
      westing: model wh_i = wh_f wh_c;
   run;

The PROC SYSLIN output is shown in Output 19.2.1.

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