SYSTEM

To set up a system for estimation, the following commands are used:

  SYSTEM neq exogs / options
  OLS depvar indeps

The exogs is only required for Three Stage Least Squares in a Simultaneous equation model and must NOT be specified for systems of Seemingly Unrelated Regressions.

The available options are:

Option Description
N Uses N as the divisor for the covariance matrix.
FULL Gives full equation output.
NOCONEXOG Do not include a constant in the list of exogs variables.
NOCONSTANT Suppresses the intercept in all equations.
PCOR,PCOV Print the correlation and covariance matrices of all variables in the system after convergence.
PINVEV Prints the inverse of the exogenous variables matrix when the 3SLS system is being used.
PSIGMA Prints the residual covariance matrix (SIGMA) after each iteration.
RESTRICT Used when the SYSTEM command is to be followed by RESTRICT commands and an END command.
COEF= Saves the values of the COEFficients (excluding the intercept).
COEFMAT= Saves the values of the COEFficients (including the intercept) in a matrix with each column of the matrix representing one equation.
CONV= Specifies a convergence criterion to stop the iterative procedure.
COV= Saves the COVariance matrix.
ITER= Specifies the maximum number of iterations.
OUT=,IN= Used to output a file of useful information on unit 11 at each iteration, so that the system can be restarted in another run at the same point by inputting the file from unit 11.
PITER= Specifies the frequency with which ITERations are to be Printed.
PREDICT= Saves the predicted values of the dependent variable.
RESID= Saves the residuals from the regression.
SIGMA= Save the residual covariance matrix (SIGMA).
In addition, the DUMP, GF, LIST, MAX, RSTAT, STDERR= and TRATIO= options can be used as described for the OLS command.