[Limdep Nlogit List] Panel SUR and latent class

Tomas Nilsson tknilsso at gmail.com
Fri Jun 27 00:41:07 EST 2008

Dear all,

w.r.t. fitting a SURE/Zellner model to panel data... the PDS=t command
doesn't work... no response from the active participants in the list,
so I presume I can't see the forest because of all the trees... or
it's not as simple as 1-2-3... The systems format is attractive as
several cross-equation restrictions must be imposed.

So here is another ludicrous question: can one fit a SURE model but in
a latent class format; that is, estimate a set of share equations
where the final parameter estimates differ across classes but within
classes comply with cross-equation restrictions. The food demand
application I have in mind would be to let some goods be substitutes
for some consumers and complements for others. I like the idea of
"letting the data speak" rather than performing some ad-hoc
segmentation based on some arbitrary rules.

Can this be done within the context of not having to code the ML
function? It's probably pretty nasty analytically and testing for
statistical adequacy a living nightmare...  any thoughts, suggestions,
comments, critique greatly appreciated at this point in life...


On Fri, Jun 20, 2008 at 2:56 PM, Tomas Nilsson <tknilsso at gmail.com> wrote:
> Greetings, Limdep users -
> what is the <canned> command for fitting a panel SURE (seemingly
> unrelated linear regression equations a la Zellner) in Limdep. I'm
> looking at R16 but still somewhat curious how to fit it to a panel
> (just add Pds=t?). How do one set up the data to perform such task (as
> in R6?)? To sound even more ignorant, can this model be fitted to an
> unbalanced dataset?
> Happy Solstice
> Tomas Nilsson

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