* Pooling Time-Series and Cross-Sectional Data
* Reference: Chapter 17 of
*    R. Carter Hill, William E. Griffiths and George G. Judge, 
*    Undergraduate Econometrics, Second Edition, Wiley. 

SAMPLE 1 20
READ (TAB9-3.shd) INV1 V1 K1 INV2 V2 K2 / SKIPLINE=1
* Separate OLS regressions
OLS INV1 V1 K1
OLS INV2 V2 K2

* Seemingly Unrelated Regression - Results in Table 17.1, p. 355
* Generate a constant term -- this is required so that hypothesis
* testing on the intercept can be considered.
GENR ONE=1
*   The DN option uses a divisor of N in estimating error variances.
SYSTEM 2 / DN NOCONSTANT
OLS INV1 V1 K1 ONE
OLS INV2 V2 K2 ONE
END
* The estimation output reports the test statistic:
*    BREUSCH-PAGAN LM TEST FOR DIAGONAL COVARIANCE MATRIX
* This is the lambda test statistic discussed on p. 356
* Testing cross-equation restrictions - Chapter 17.2.4
TEST
 TEST ONE:1=ONE:2
 TEST V1=V2
 TEST K1=K2
END
* On the TEST command, the variable names represent the coefficients.  
STOP