linearmodels.system.model.SUR.multivariate_ls

classmethod SUR.multivariate_ls(dependent, exog)[source]

Interface for specification of multivariate regression models

Parameters:
dependentarray_like

nobs by ndep array of dependent variables

exogarray_like

nobs by nvar array of exogenous regressors common to all models

Returns:
modelSUR

Model instance

Notes

Utility function to simplify the construction of multivariate regression models which all use the same regressors. Constructs the dictionary of equations from the variables using the common exogenous variable.

Examples

A simple CAP-M can be estimated as a multivariate regression

>>> from linearmodels.datasets import french
>>> from linearmodels.system import SUR
>>> data = french.load()
>>> portfolios = data[["S1V1","S1V5","S5V1","S5V5"]]
>>> factors = data[["MktRF"]].copy()
>>> factors["alpha"] = 1
>>> mod = SUR.multivariate_ls(portfolios, factors)
Return type:

SUR