*   R. Carter Hill, William E. Griffiths and Guay C. Lim,  
*   Principles of Econometrics, Fourth Edition, Wiley, 2011.

* Chapter 15.7.5  Seemingly Unrelated Regression

SAMPLE 1 20
* Load the data for General Electric
READ (grunfeld2.dat) i1 t1 INV1 V1 K1 / SKIPLINES=1 
* Load the data for Westinghouse 
READ (grunfeld2.dat) i2 t2 INV2 V2 K2 / NOREWIND

* Generate a constant term -- this is required so that hypothesis
* testing on the intercept can be considered.
GENR ONE=1
* Model estimation with the SYSTEM command - Table 15.14, p. 568.
SYSTEM 2 / 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 LM test statistic discussed reported on page 569.
* Testing cross-equation restrictions, pages 569-70.
* On the TEST command, the variable names represent the coefficients.
TEST
 TEST ONE:1=ONE:2
 TEST V1=V2
 TEST K1=K2
END 
STOP