I would like to run the following system of unrelated equations using
-sureg-, but I don't know if the command is able to do this:
y1=a0+a1*x1+a2*x2+u
y2=b(y1-a0-a1s*x1-a2s*x2)+v
Does anyone have an idea of how to set the -sureg- command in order to
estimate this system of equations?
No, because is not a system of SURs, in which each regressor is
exogenous. It is a simultaneous system, in fact a recursive
simultaneous system, but without additional identifying restrictions
you cannot estimate it as such. The first equation can be estimated
with OLS (assuming that x1, x2 are appropriately exogenous w.r.t. u)
but for the second equation, you need to use an instrumental
variables estimator, and all of the exogenous variables in this
system are already in the equation as regressors. Thus without some
additional instruments you're out of luck.