Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: -sureg- in -xtreg-


From   "D.Christodoulou" <absc11@bangor.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: -sureg- in -xtreg-
Date   Fri, 12 Mar 2004 17:56:44 +0000

Dear Statalisters,


I have a panel of firms with yearly data on a number of (log) variables.
Assume there are 5 variables. Without firm effects, I can use -sureg- to
detrend all variables by a single constrained growth rate as follows: 

	gen t1 = time
	gen t2 = time
	gen t3 = time
	gen t4 = time
	gen t5 = time

	constraint define 1 t2=t1
	constraint define 2 t3=t2
	constraint define 3 t4=t3
	constraint define 4 t5=t4

sureg (X1: lnx1 t1) (X2: lnx2 t2) (X3: lnx3 t3) (X4: lnx4 t4) (X5: lnx5
t5), constraint (1 2 3 4)

The model detrends each variable using the constrained slope across the 5
variables and allows the intercepts (i.e. estimated initial values) to
vary. The fitted values for any variable (e.g. lnx1), which vary with time
but not with firm, are given by:

	predict fvx1, equation(X1) xb

To introduce firm effects in -sureg- I may use -by firm- . The SURs then
run successively for a large number of firms. 

Using this approach, how do I
(i) obtain a coparable table of parameter estimates for all the estimated
-by firm, sureg- 
(ii) extract a vector of fitted values for each of the variables?  


ALso, I want to run this as a single model, in order to then compare with
other models, including -xtreg-, -xtregar- and -xtabond-. 

To set the data up as panel data, we use the commands


	gen year = time + <base year>
	tsset firm year, yearly


Therefore, how can I run the SUR model with panel data? 

All comments are welcome,many thanks in advance
Dimitris



---------------------------------------------
Dimitris Christodoulou
School for Business and Regional Development
University of Wales, Bangor
Hen Coleg
LL57 2DG Bangor
UK
e-mail: D.Christodoulou@bangor.ac.uk
---------------------------------------------
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index