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To clarify RE: st: What is seemingly unrelated regression?


From   SamL <saml@demog.berkeley.edu>
To   statalist@hsphsun2.harvard.edu
Subject   To clarify RE: st: What is seemingly unrelated regression?
Date   Tue, 10 Jul 2007 07:37:15 -0700 (PDT)

To clarify, the SUR model is designed for treating multiple dependent
variables, Y1, Y2, and so on, simultaneously.  Estimating Y1=X1 and then
Y1=X2 and then combining the two models to estimate Y1=X1+X2 can be done
without use of Zellner's SUR.  SUR is not aiming at that issue.

HTH, again
Sam

On Tue, 10 Jul 2007, Mak, Timothy wrote:

> 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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