On Saturday 09 August 2008 23:25, Arne Henningsen wrote: > > -----Original Message----- > > From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] > > Sent: Monday, August 04, 2008 5:15 PM > > To: Zhang Yanwei - Princeton-MRAm > > Subject: RE: [R] Multivariate Regression with Weights > > > > the systemfit package can do that and the documentation is quite nice > > also. > > The systemfit() function of the systemfit package can use different weights > for the different *equations* but NOT different weights for different > *observations* (if argument "method" is "SUR", "WLS", "3SLS" or "W2SLS"). > I guess that you can divide the first equation by x_1 and the second > equation by x_2 to obtain > y_1^* = 1 + x_2^* + e_1^* > y_2^* = 1 + x_1^* + e_2^*
Of course, I meant: y_1^* = b_11 + b_12 x_2^* + e_1^* y_2^* = b_22 + b_21 x_1^* + e_2^* (Derived from y_1 = b_11 x_1 + b_12 x_2 + e_1 y_2 = b_21 x_1 + b_22 x_2 + e_2 ) Sorry for my sloppiness. Arne > with > y_1^* = y_1 / x_1 > x_2^* = x_2 / x_1 > e_1^* = e_1 / x_1 > y_2^* = y_2 / x_2 > x_1^* = x_1 / x_2 > e_2^* = e_2 / x_2 > > In this case, you should have homoscedastic error terms. Hence, you can use > systemfit to estimate the system of the modified equations. > > > On Mon, Aug 4, 2008 at 4:39 PM, Zhang Yanwei - Princeton-MRAm wrote: > > > Hi all, > > > I'd like to fit a multivariate regression with the variance of the > > > error term porportional to the predictors, like the WLS in the > > > univariate case. > > > y_1~x_1+x_2 > > > y_2~x_1+x_2 > > > var(y_1)=x_1*sigma_1^2 > > I guess that you mean var(e_1). Right? > > > > var(y_2)=x_2*sigma_2^2 > > > cov(y_1,y_2)=sqrt(x_1*x_2)*sigma_12^2 > > > > > > How can I specify this in R? Is there a corresponding function to the > > > univariate specification lm(y~x,weights=x)?? Thanks. > > Unfortunately, systemfit has not (yet) a "weights" argument. (If you add > this feature, I would be happy if you send me the code that I can include > this feature in the official version.) > > Best wishes, > Arne -- Arne Henningsen [EMAIL PROTECTED] http://www.arne-henningsen.name
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