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Re: st: re: SUR and unbalanced panel data


From   "alessia matano" <alexis.rtd@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: SUR and unbalanced panel data
Date   Sun, 11 Nov 2007 12:34:41 +0100

Thank you Kit for your help.

Thus, should I reshape wide my data from long, and then apply sureg?
Should I red your procedure on your book?
Might you send me the procedure, or an example of it?
Thank you again
alessia

2007/11/10, Kit Baum <baum@bc.edu>:
> 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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