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To |
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Subject |
st: Suest and Sureg |

Date |
Tue, 07 Aug 2007 18:18:00 +0100 |

Dear Stata list, maybe this a very basic question. I`m trying to estimate a model using SUR, this technique is new for me. My problem is that command sureg maybe is not taking into account posible heteroskedasticity. Then I have tried suest after regress (someone told me that with this command is possible to run a sur under heterosk on each equation). I notice that the standard errors have change and are very similar to my independent equations regression once adjusted using robust option. However, i dont know if this command is really doing a sur regression allowing for correlations among unobservables. I have read some applications that say that is the "correct" way to run that kind of regression (sur model corrected by white). However in other applications i have read that this command is not properly a sur regression. A previous post I have read the following "Just to add a bit to Maarten's suggestion: -suest- will let you combine two or more "seemingly unrelated" equations so that you can test cross-equation restrictions and the like. But it won't do "seemingly-unrelated estimation" a la Zellner and -sureg-, i.e., you won't get the efficiency gains possible from estimating the equations as a system. The coefficients reported by -suest- are just the original ones" So, my doubt now is bigger. I only want to obtain the correct variance covariance matrix in order to test corss equation hypothesis under to kind of models. The first one uses the same covariates for all the equations and the second one different covariates. Both are OLS-type. hope someone can answear me more and if you need more information I can explain the details of my model. Thanks a lot Alvaro * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: RE: Suest and Sureg***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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