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st: SUR with panel data


From   vmarzano@unina.it
To   statalist@hsphsun2.harvard.edu
Subject   st: SUR with panel data
Date   Thu, 21 Aug 2008 16:21:54 +0200

Dear statalist users,

I am going to estimate an International trade model using a database  
with observations related to o-d pairs of countries (x) for different  
years (t) and commodity classes (c). This is therefore a panel  
dataset, and in addition there is potential correlation between  
commodity classes equations for the o-d pair x at the year t.  
Moreover, the dataset is not complete, since some c?s are missing for  
xt pairs and some t?s are missing for xc pairs.

I should therefore perform a SUR estimation within a panel data  
framework: how can I do it using STATA? I understand that sureg and  
xtreg solve separately the two problems, but is there a way to combine  
them? I would also be glad to know which tests can be run in order to  
contrast this estimation with a simple panel data estimation (i.e.  
neglecting correlations among commodity classes).

Thanks in advance.


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