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Re: st: Fwd: sureg


From   "Brian P. Poi" <bpoi@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Fwd: sureg
Date   Thu, 3 May 2007 09:37:39 -0500 (CDT)

Christopher Baum wrote:

There are numerous cases where -sureg- run on several equations is equivalent in every way to running OLS on each equation. -sureg (y x1 x2 x3)- is one of them. It is doing nothing at all beyond OLS, except for reporting a large-sample VCE.

That said, -sureg- appears to have a bug. If you do

webuse auto
reg price mpg headroom trunk
sureg (price mpg headroom trunk)
sureg (price mpg headroom trunk), small

The latter sureg results should equal OLS in terms of the standard errors and the t-stats: that's the meaning of -small-. But that option appears to do nothing at all.

The "small" option only affects whether z and chi2 statistics on one hand and t and F statistics on the other are displayed. To replicate the results from -regress- using -sureg-, you must specify the "dfk" or "dfk2" options along with "small":

. sysuse auto
. regress price mpg headroom trunk
. estimates store reg
. sureg (price mpg headroom trunk), small dfk
. estimates table reg ., se equations(1)

----------------------------------------
Variable | reg active
-------------+--------------------------
mpg | -224.35974 -224.35974
| 65.275114 65.275114
headroom | -659.46302 -659.46302
| 484.51008 484.51008
trunk | 126.60486 126.60486
| 107.23994 107.23994
_cons | 11175.774 11175.774
| 2431.1345 2431.1345
----------------------------------------
legend: b/se


When there is a single equation, the "dfk" and "dfk2" options result in the same degree-of-freedom adjustment, but in general that need not be the case. Since one is not clearly better than the other, you must specify which one you want.


-- Brian Poi
-- bpoi@stata.com

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