# Obtain some of the results of p.1199 of Kmenta and Gilbert (1968)
clist <- list("(Intercept)" = diag(2),
"capital.g" = rbind(1, 0),
"value.g" = rbind(1, 0),
"capital.w" = rbind(0, 1),
"value.w" = rbind(0, 1))
zef1 <- vglm(cbind(invest.g, invest.w) ~
capital.g + value.g + capital.w + value.w,
SUR(divisor = "sqrt"), maxit = 1,
data = gew, trace = TRUE, constraints = clist)
round(coef(zef1, matrix = TRUE), dig = 4) # ZEF
zef1@extra$ncols_X_lm
zef1@misc$divisor
zef1@misc$values.divisor
round(sqrt(diag(vcov(zef1))), dig = 4) # SEs
mle1 <- vglm(cbind(invest.g, invest.w) ~
capital.g + value.g + capital.w + value.w,
SUR(mle.normal = TRUE, divisor = "n-max"),
epsilon = 1e-11,
data = gew, trace = TRUE, constraints = clist)
round(coef(mle1, matrix = TRUE), dig = 4) # MLE
round(sqrt(diag(vcov(mle1))), dig = 4) # SEs
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