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st: Re: seemingly unrelated regression


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: seemingly unrelated regression
Date   Thu, 12 Jul 2007 08:57:16 -0400

No. What you are describing is a variation of SUR, three-stage least squares, available with the -reg3- command. If a variable appears on the right hand side of any equation in a set of equations, you do not have SURs; you have simultaneous equations, and they must be estimated with instrumental variables (2SLS/3SLS) techniques.


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Jul 12, 2007, at 2:33 AM, statalist-digest wrote:


If you don't mind, one more question: When using SUR, can we have
variables being both independent and dependent, ie dependent in one
equation and independent in another? Ie, can we use it to fit some
simple structural equation models?
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