scikits.statsmodels.sandbox.sysreg.SUR

class scikits.statsmodels.sandbox.sysreg.SUR(sys, sigma=None, dfk=None)
Seemingly Unrelated Regression
Parameters:

sys : list

[endog1, exog1, endog2, exog2,...] It will be of length 2 x M, where M is the number of equations endog = exog.

sigma : array-like

M x M array where sigma[i,j] is the covariance between equation i and j

dfk : None, ‘dfk1’, or ‘dfk2’

Default is None. Correction for the degrees of freedom should be specified for small samples. See the notes for more information.

sigma_{11} & sigma_{12} & cdots & sigma_{1M}sigma_{21} & sigma_{22} & & sigma_{2M}vdots & & ddots

Attributes

Methods

initialize()

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