?FGS3SLS PROCEDURE HAS BEEN DEFINED BELOW

?FULL INFORMATION GENERALIZED SPATIAL 3SLS ESTIMATION
?*************************************************************

SMPL 1 NS;
GENR E1E2  = E1*E2;
GENR E1E1  = E1*E1;
GENR E2E2  = E2*E2;

MSD (SILENT) E1E1 E1E2 E2E2;

SET S11  = @MEAN(1); 
SET S12  = @MEAN(2);
SET S22  = @MEAN(3);
MFORM (NROW = 2, NCOL = 2) SIGMA = 0;
set SIGMA(1,1)  = S11;
set SIGMA(1,2)  = S12;
set SIGMA(2,1)  = S12;
set SIGMA(2,2)  = S22;
?MFORM (NROW = 2, NCOL = 2, TYPE = DIAG) SIGMA = 1;
MAT ISIG=SIGMA";
MFORM (NROW = 100, NCOL = 100, TYPE = DIAG) IMAT = 1;

SMPL 1 N;
MAT ADJ=ISIG#IMAT;

SMPL 1 NS;

OLSQ(SILENT) Y1S2 X1 X2 WX2 WWX2 X3 WX3 WWX3;
GENR Y1S2H = @FIT;

OLSQ(SILENT) Y2S1 X1 X2 WX2 WWX2 X3 WX3 WWX3;
GENR Y2S1H = @FIT;

OLSQ(SILENT) WY1S1 X1 X2 WX2 WWX2 X3 WX3 WWX3;
GENR WY1S1H = @FIT;

OLSQ(SILENT) WY2S2 X1 X2 WX2 WWX2 X3 WX3 WWX3;
GENR WY2S2H = @FIT;

OLSQ(SILENT) WY1S2 X1 X2 WX2 WWX2 X3 WX3 WWX3;
GENR WY1S2H = @FIT;

OLSQ(SILENT) WY2S1 X1 X2 WX2 WWX2 X3 WX3 WWX3;
GENR WY2S1H = @FIT;

MMAKE Z1H WY1S1H WY2S1H Y2S1H XS1 X1S1;
MMAKE Z2H WY2S2H WY1S2H Y1S2H XS2 X1S2;
MMAKE Z1 WY1S1 WY2S1 Y2S1 XS1 X1S1;
MMAKE Z2 WY2S2 WY1S2 Y1S2 XS2 X1S2;
MMAKE(VERT) Y Y1S1 Y2S2;

MAT I22MAT = IDENT(2);
MAT I11MAT = IDENT(2);
SET I22MAT[1,1] = 0;
SET I11MAT[2,2] = 0;

MAT ZH = I11MAT#Z1H + I22MAT#Z2H;
MAT Z = I11MAT#Z1 + I22MAT#Z2;
MAT DELTA = (ZH'ADJ*Z)"(ZH'ADJ*Y);
SET CH13SLS   = DELTA[4];
SET CH23SLS   = DELTA[5];
SET LAMH13SLS  = DELTA[1];
SET LAMH23SLS  = DELTA[2];
SET BH13SLS   = DELTA[3];

SET CH33SLS   = DELTA[9];
SET CH43SLS   = DELTA[10];
SET LAMH33SLS  = DELTA[6];
SET LAMH43SLS  = DELTA[7];
SET BH23SLS   = DELTA[8];

TITLE 'STEP 4:  FULL INFORMATION GENERALIZED SPATIAL 3SLS ESTIMATOR';
PRINT CH13SLS CH23SLS LAMH13SLS LAMH23SLS BH13SLS;
PRINT CH33SLS CH43SLS LAMH33SLS LAMH43SLS BH23SLS;