Nik's question as well as my original one, however, is legitimate. You may
think that "sureg" is a panel data estimator, but it does not handle fixed
effects by itself. Your example clearly indicated that you had to combine
"sureg" with "xtreg" to deal with the issue at hand, which was exactly
what I didn't but wanted to know about when I raised my question.
Therefore, your claim that by using "sureg," one is already estimating
fixed effects is, I hate to say, less than true.
I did not combine xtreg,fe with sureg; I ran them as alternative estimators
of a model involving the Grunfeld data. sureg is indeed estimating fixed
effects, if one takes fixed effects in the vernacular to mean a
unit-specific intercept. Each sureg equation has an intercept, with an i
subscript. How is that not a fixed effect?
