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st: re: SUR and unbalanced panel data


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: SUR and unbalanced panel data
Date   Sat, 10 Nov 2007 12:51:17 -0500

Alessia said

I am writing cause I have a quetion related to that of Conny. I want
also to run a SUR on a panel data (strongly balanced). However, with
SUREG I think you just run a normal OLS regression, and not a panel
random or fixed effects regression. Is that right? I am then asking
how to apply with stata a SUR on panel data.

First of all, as the cited book discusses, SUR can be considered a panel data estimator, but data must be reshaped to the wide structure to be used in SUR, unlike the long structure appropriate for fixed- or random-effects estimators (e.g. -xtreg-).

I developed a version of -sureg- that works with unbalanced panel data -- that in which not all the panel units have the same observations -- and would be glad to make it available to Alessia, as I did for Conny. It is not yet ready for public release, and it does not handle constraints across equations.

Kit

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


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