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Re: st: sur with fixed effects


From   cb23 <cb23@york.ac.uk>
To   statalist@hsphsun2.harvard.edu, zymx@yahoo.com
Subject   Re: st: sur with fixed effects
Date   Mon, 21 Oct 2002 14:22:54 +0100

Just in case no-one comes up with a correct answer on this, I would try
the following :- 

I think I am right in saying that the xtreg fixed effects model is just
a standard OLS model with dummies for the groups with one alteration: in
OLS we choose a baseline dummy for which we set the coefficient to zero
and in fixed effects we sum the dummy coefficients on all groups to
zero.  This means that the coefficients on the other Xs should be the
same in fixed effects and the dummy variable approach, and the only
difference will be in the coefficients of the constant and the group
dummies/effects.  You should try this to make sure it works.  You can
even try to choose the baseline dummy such that the coefficients on the
other dummies are close to summing to zero.

Than, having realised we can roughly write a fixed effect model as a
standard equation, you could then rewrite your fixed effect equations in
a dummy variable form and stick them in to a SUR model.


"J. Yimin Zhou" wrote:
> 
> Hi Everybody,
> 
> Could anybody give me some idea how to estimate SUR with fixed effects using
> Stata? I'm new to Stata. All I know at this point is that I could use XTREG
> to estimate a single equation with fixed effects, and SUREG to estimate a
> system of equations. I've no idea how to proceed from here. For your
> information, I'm trying to use Stata to "cross-check" some estimation
> results I obtained using TSP. Your answers will be gratefully appreciated.
> 
> Jeremy Z.
> 
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