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st: SUR with autocorrelation in Stata


From   Tian Xia <tianxia@agecon.ksu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: SUR with autocorrelation in Stata
Date   Wed, 26 Sep 2007 21:29:39 -0500

Dear Statalisters,
 
I would like to estimate a system of equations model with both the
contemporaneous correlation between errors of different equations and
the autocorrelation of the error in each equation. But I do not know how
to estimate this system in Stata. 
 
I know that we can use the SUR (seemingly unrelated regressions) method
to estimate a system of equations when there is contemporaneous
correlation between the errors of different equations for the same time
period. However, the system of equations I am trying to estimate has not
only (1) the contemporaneous correlation between the errors of different
equations, but also (2) the autocorrelation of the error term in each
equation in the system. 
 
Could anyone please tell me how to estimate the system of equations with
these two characteristics ((1) and (2)) in Stata? 
 
I would be grateful for any suggestions/answers you may have. 
 
Best wishes,
 
Tian Xia     
Dept. of Agricultural Economics
Kansas State University
Manhattan, Kansas 
E-mail: tianxia@agecon.ksu.edu 
 

 


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