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st: SUR with identical equations, restrictions and tests
I want to perform a SUR with 5 identical equations, but for 5
different groups of observations in my data, and make some
restrictions and tests on coefficients across equations. My problem
is: I don't know how to tell Stata that these 5 equations are not the
same, although they all contain the same variables.
I generated distinct variables for every group, like p1-p5 for the
endogenous and x1-x5 for one of the exogenous variables by saying:
. gen p1=.
. replace p1=p if group==1
and so on.
But to my command
. sureg (p1 x1) (p2 x2) … (p5 x5)
insufficient observations, r(2001)
although every group has hundreds or thousands of observations.
In the archive, I found a short response by Kit Baum pointing to a
longer discussion that took place in early 2002 on a this issue, but
that I couldn't find.
I'd be very grateful if someone could give me a more detailed
reference of that earlier discussion, or some other clues.
I use Stata 7.
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