Re: [R] Multivariate multiple regression

From: Arne Henningsen <ahenningsen_at_email.uni-kiel.de>
Date: Fri 06 May 2005 - 18:00:37 EST

On Wednesday 04 May 2005 20:08, Iain Pardoe wrote:
> I'd like to model the relationship between m responses Y1, ..., Ym and a
> single set of predictor variables X1, ..., Xr. Each response is assumed
> to follow its own regression model, and the error terms in each model
> can be correlated. My understanding is that although lm() handles
> vector Y's on the left-hand side of the model formula, it really just
> fits m separate lm models. What should I use to do a full multivariate
> analysis (as in section 7.7 of Johnson/Wichern)? Thanks.

I don't know Johnson/Wichern. However, it seems to me that you want to do a "seemingly unrelated regression" (SUR). You can do this with the package "systemfit".

Arne

> Iain Pardoe <ipardoe@lcbmail.uoregon.edu>
> University of Oregon
>
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-- 
Arne Henningsen
Department of Agricultural Economics
University of Kiel
Olshausenstr. 40
D-24098 Kiel (Germany)
Tel: +49-431-880 4445
Fax: +49-431-880 1397
ahenningsen@agric-econ.uni-kiel.de
http://www.uni-kiel.de/agrarpol/ahenningsen/

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Received on Fri May 06 18:13:32 2005

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