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> ## ----------------------------------------------------------------------------
> ## Kmenta+Gilbert (1968) -> Zellner (1962)
> ##
> ## data
> ## availability: none
> ## firms: General Electric, Westinghouse
> ## errors: none
> ##
> ## analysis
> ## result: exact at precision given
> ## note: for all estimates pertaining to WH, value and capital are interchanged
> ## ----------------------------------------------------------------------------
> 
> ## preliminaries
> source("start.R")
Loading required package: kinship
Loading required package: survival
Loading required package: splines
Loading required package: nlme
Loading required package: lattice
[1] "kinship is loaded"
Loading required package: Formula
Loading required package: MASS
Loading required package: sandwich
Loading required package: zoo
Loading required package: Matrix
Loading required package: car
Loading required package: lmtest
> 
> ## data pre-processing
> gr <- subset(Grunfeld, firm %in% c("General Electric", "Westinghouse"))
> gr$firm <- factor(gr$firm)
> pgr <- plm.data(gr, c("firm", "year"))
> 
> ## OLS, SUR and iterated SUR (ML) (pp. 1199-1200) 
> fmGE <- lm(invest ~ value + capital, data = gr, subset = firm == "General Electric")
> fmWH <- lm(invest ~ value + capital, data = gr, subset = firm == "Westinghouse")
> gsummary(fmGE, digits = 4)
 (Intercept)  value capital    R^2  sigma^2
     -9.9563 0.0266  0.1517 0.7053 777.4463
     31.3742 0.0156  0.0257                
> gsummary(fmWH, digits = 4)
 (Intercept)  value capital    R^2  sigma^2
     -0.5094 0.0529  0.0924 0.7444 104.3079
      8.0153 0.0157  0.0561                
> ## alternatively:
> ## systemfit(invest ~ value + capital, method = "OLS", data = pgr)
> 
> fmSUR <- systemfit(invest ~ value + capital, method = "SUR", data = pgr)
> gsummary(fmSUR, digits = 4)

Method: SUR 
                 (Intercept)  value capital    R^2  sigma^2
General.Electric    -27.7193 0.0383   0.139 0.6926 811.0809
                     29.3212 0.0144   0.025                
Westinghouse         -1.2520 0.0576   0.064 0.7404 105.9589
                      7.5452 0.0145   0.053                
> 
> fmML <- systemfit(invest ~ value + capital, method = "SUR", data = pgr, maxit = 100)
> gsummary(fmML, digits = 4)

Method: SUR 
                 (Intercept)  value capital    R^2  sigma^2
General.Electric    -30.7484 0.0405  0.1359 0.6868 826.1573
                     29.6608 0.0145  0.0255                
Westinghouse         -1.7016 0.0594  0.0557 0.7378 107.0036
                      7.5149 0.0144  0.0529                
>