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Re: st: What is seemingly unrelated regression?


From   "Neil Shephard" <nshephard@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: What is seemingly unrelated regression?
Date   Tue, 10 Jul 2007 14:52:37 +0100

On 7/10/07, Mak, Timothy <Timothy.Mak@iop.kcl.ac.uk> wrote:
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?
As stated in the FAQ and mentioned several times on the list over the
last few months...

"Please do not assume that the literature familiar to you is familiar
to all members of Statalist. Do not refer to publications with just
minimal details (e.g., author and date). Questions of the form "Has
anyone implemented the heteroscedasticity under a full moon test of
Sue, Grabbit, and Runne (1989)?" admittedly divide the world. Anyone
who has not heard of the said test would not be helped by the full
reference to answer the question, but they might well appreciate the
full reference."

Thus the full reference to the Zollner paper you mention would help
those whose interest has been piqued.

Neil
--
"In mathematics you don't understand things. You just get used to
them."  - Johann von Neumann

Email - nshephard@gmail.com / n.shephard@sheffield.ac.uk
Website - http://slack.ser.man.ac.uk/
Photos - http://www.flickr.com/photos/slackline/
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