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RE: st: What is seemingly unrelated regression?


From   "Mak, Timothy" <Timothy.Mak@iop.kcl.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: What is seemingly unrelated regression?
Date   Tue, 10 Jul 2007 15:22:41 +0100

OK. 

Zellner, A. 1962. An efficient method of estimating seeming unrelated
regressions and tests for aggregation bias. JASA 57: 348-368. (Can be
found on JSTOR)

Yours, 
Tim 
 

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Neil Shephard
Sent: 10 July 2007 14:53
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: What is seemingly unrelated regression?

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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