Dear Kathrinchen

It seems to me that your question is about statistics rather than

about R and systemfit. If you find out how the statistical test should

be conducted theoretically, I can probably advise you how to implement

the test in R (systemfit).

Best wishes,

Arne

On 11 July 2013 13:21, Kathrinchen <

[hidden email]> wrote:

> Dear all,

>

> I have set up a Labour Demand Error Correction Model for some German federal

> states.

>

> As I expect the labour markets to be correlated I used a Seemingly Unrelated

> Regression using systemfit in R.

>

> My Model is:

>

> d(emp)_it = c + alpha*ln(emp)_i,t-1 + beta_1*ln(gdp)_i,t-1 + +

> beta_2*ln(wage)_i,t-1 + + beta_1*ln(i)_i,t-1 + gamma_1*d(gdp)_it +

> gamma_2*d(wage)_it

>

> with emp_it being the employment in state i at time t, i stands for the real

> interest rate, ln() is the logarithmed data, while d() stands for the

> difference operator.

>

> I would like to test now for weak exogeneity and I am not quite sure what

> kind of regression to run. If I run:

> d(gdp)_it = c + alpha*ln(emp)_i,t-1 + beta_1*ln(gdp)_i,t-1 + +

> beta_2*ln(wage)_i,t-1 + + beta_1*ln(i)_i,t-1 + gamma_1*d(emp)_it +

> gamma_2*d(wage)_it

>

> with Systemfit, alpha is statistically significant, so I have to reject the

> hypothesis of weak exogeneity...Literature is in my opinion not so clear on

> what to test!

>

> I use data from an application, they conclude that endogeneity is not a

> problem: they regress the possible endogenous variables "on the presumed

> equilibrium relation, a constant and one autoregressive lag" - here I am not

> sure, what they mean.

>

> I would very much appreciate your help!

>

> Thanks a lot!

>

>

>

>

>

> --

> View this message in context:

http://r.789695.n4.nabble.com/Testing-for-weak-exogeneity-in-a-SUR-ECM-tp4671321.html> Sent from the R help mailing list archive at Nabble.com.

>

> ______________________________________________

>

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>

https://stat.ethz.ch/mailman/listinfo/r-help> PLEASE do read the posting guide

http://www.R-project.org/posting-guide.html> and provide commented, minimal, self-contained, reproducible code.

--

Arne Henningsen

http://www.arne-henningsen.name______________________________________________

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https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide

http://www.R-project.org/posting-guide.htmland provide commented, minimal, self-contained, reproducible code.