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Re: st: What is seemingly unrelated regression?


From   "Eric G. Wruck" <ewruck@econalytics.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: What is seemingly unrelated regression?
Date   Tue, 10 Jul 2007 10:28:10 -0400

Hi Neil:

A little heavy-handed here -- non?  Tim provided much more than the author & year; as he made clear, his concern is about understanding seemingly unrelated regressions.  There is no prohibition on mentioning statistical techniques by name on the Statalist.  In any event, the very well-known paper he is talking about is

Zellner, A. (1962). ""An efficient method of estimating seemingly unrelated regression equations and tests for aggregation bias"". Journal of the American Statistical Association 57: 348-368.


EGW
  

>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
>


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