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st: Re: sureg is not xtreg
On Mar 13, 2004, at 2:33 AM, Dimitris wrote:
I have a panel of firms with yearly data on a number of (log)
SURE (sureg) is an estimator for use with panel data in the "wide"
format--e.g. firms' data in adjacent variables. It always is applied to
panel data. If you want to use an estimator in the "long" format, such
as xtreg, you must reshape long. A fixed-effects model (xtreg, fe) will
estimate the same regression across units of the panel, with intercepts
firm-specific; the only difference between that and the
slope-constrained SURE is that the latter allows for \sigma^2 to vary
across firms, which xtreg,fe does not.
Assume there are 5 variables. Without firm effects, I can use -sureg-
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
variables and allows the intercepts (i.e. estimated initial values) to
vary. The fitted values for any variable (e.g. lnx1), which vary with
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
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
- -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
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?
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