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From |
"Mak, Timothy" <Timothy.Mak@iop.kcl.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: What is seemingly unrelated regression? |

Date |
Tue, 10 Jul 2007 14:40:44 +0100 |

Hi Statalist, Forgive me for more of a statistical question than a Stata question, but I only recently found out about seemingly unrelated regression (SUR). I dug up the Zellner (1962) paper, and it says that: Under conditions generally encountered in practice, it is found that the regression coefficient estimators so obtained are at least asymptotically more efficient than those obtained by an equation-by-equation application of least squares. Interesting claim - does it imply that whenever we're doing more than one regression on the same dataset, we should be using SUR? Anyway, I ran a small test. First I created a 5-dimensional multivariate normal sample of size 10000. Correlations between the 5 variables are all 0.3. I generated y = 0.1 * (x1+ x2 + x3 + x4 + x5) + u, where x1-x5 are the variables just created, and u is an error term generated separately by -uniform-. And I regressed y on x1, x2, x3, etc, separately using -reg-, and together using -sureg-. As expected the -reg- estimates were around 0.22 (=0.1 + 4 * 0.3 * 0.1 + ...). But the -sureg- estimates were around 0.02. If these were estimates of the relationship between y and x1, x2, etc, then these are clearly biased. I suppose then that these estimates are not estimating the same things as -reg- estimates. But then what are these estimating? Sorry if this is really elementary. I haven't studied econometrics but would like to learn a bit more about statistics. Thanks, Tim * * 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/

**Follow-Ups**:**Re: st: What is seemingly unrelated regression?***From:*SamL <saml@demog.berkeley.edu>

**Re: st: What is seemingly unrelated regression?***From:*"Neil Shephard" <nshephard@gmail.com>

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