options crt nodate;
name grunsur 'SUR on Grunfeld data, following Theil(1971)';
?  Summary of benchmark models:
?              OLS     SUR      SUR       itSUR     CSUR   itCSUR
? GE Const.  -10.0   -27.7   -27.7193   -30.7485   -23.0   -23.1746
?    (s.e.)  (31.4)  (27.0)  (27.0328)  (27.3459)  (18.0)  (18.6232)
?    F(-1)    .027    .038    .038310    .040511    .036    .035756
?    (s.e.)  (.016)  (.013)  (.013290)  (.013408)  (.008)  (.00791803)
?    K(-1)    .152    .139    .139036    .135931    .139)   .140069
?    (s.e.)  (.026)  (.023)  (.023036)  (.023547)  (.023)  (.023304)
? WH Const.    -.5    -1.3   -1.25199   -1.70161     6.9    6.90673
?    (s.e.)   (8.0)   (7.0)  (6.95635)  (6.92840)   (5.8)  (6.01470)
?    F(-1)    .053    .058    .057630    .059352    above   above
?    (s.e.)  (.016)  (.013)  (.013411)  (.013294)
?    K(-1)    .092    .064    .063978    .055735    above   above
?    (s.e.)  (.056)  (.049)  (.048901)  (.048756)
?    LogL   -166.541                    -158.303           -160.645
? Theil page   295     300      TSP        TSP       316      TSP
load;
olsq i c f k;
form(param) ge;
olsq ip c fp kp;
form(param) west;

sur ge west;

lsq(tol=1e-7) ge west;  ? iterated SUR (FIML), to high accuracy

? Now estimate constrained model (iterated, to high accuracy)
frml eq1 i  = ge0   + bf*f  + bk*k;
frml eq2 ip = west0 + bf*fp + bk*kp;
param ge0 west0 bf bk;
lsq(tol=1e-7) eq1 eq2;

end;
noprint;
freq a;
smpl 35,54;
read i f k;   ? GE data, lags are implicit for f and k
  33.1  1170.6    97.8
  45.0  2015.8   104.4
  77.2  2803.3   118.0
  44.6  2039.7   156.2
  48.1  2256.2   172.6
  74.4  2132.2   186.6
 113.0  1834.1   220.9
  91.9  1588.0   287.8
  61.3  1749.4   319.9
  56.8  1687.2   321.3
  93.6  2007.7   319.6
 159.9  2208.3   346.0
 147.2  1656.7   456.4
 146.3  1604.4   543.4
  98.3  1431.8   618.3
  93.5  1610.5   647.4
 135.2  1819.4   671.3
 157.3  2079.7   726.1
 179.5  2371.6   800.3
 189.6  2759.9   888.9
read ip fp kp;  ? Westinghouse data
 12.93   191.5     1.8
 25.9    516.0      .8
 35.05   729.0     7.4
 22.89   560.4    18.1
 18.84   519.9    23.5
 28.57   628.5    26.5
 48.51   537.1    36.2
 43.34   561.2    60.8
 37.02   617.2    84.4
 37.81   626.7    91.2
 39.27   737.2    92.4
 53.46   760.5    86.0
 55.56   581.4   111.1
 49.56   662.3   130.6
 32.04   583.8   141.8
 32.24   635.2   136.7
 54.38   723.8   129.7
 71.78   864.1   145.5
 90.08  1193.5   174.8
 68.6   1188.9   213.5