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st: Re: sureg

From   Kit Baum <>
Subject   st: Re: sureg
Date   Mon, 17 May 2004 09:14:43 -0400

On May 17, 2004, at 2:33 AM, Michael wrote:

I don't think that this is an appropriate use of sureg. I thought that
sureg (and similarly mvreg) are both based on the assumption that the error
terms may be correlated across equations (typically these are
contemporaneous correlations). In this case, the four sets of Ys and Xs in
a given observation are arbitrarily in the same observation (since the data
are simply divided by quartiles on another variables) -- there is no
contemporaneous association or any other reason why the data pair for any
quartiles are aligned in the particular observations they appear and no
reason to think that the residuals across equations have anything to do with
one another.
Good point. These are not really 'xt' data, and should not be treated as such.


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