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From |
"Dalhia Mani" <dalhia.mani@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: SUR correction for autocorrelation |

Date |
Sat, 4 Oct 2008 15:47:37 -0500 |

hi, I have a set of equations that specify the relationship between a set of independent variables and outcome variables - survival, stockmarket and accounting performance. I have two questions that I would appreciate your help with. 1) The data is at the firm level. Some of the firms belong to clusters of firms, and hence I expect autocorrelation in the residuals when I run each equation separately. Therefore, I plan to use the the Prais-Winston command, specifying the Cochran-Orcutt option in stata to correct for autocorrelation when running each equation separately. I think this approach is correct, however I am not a 100% sure, and will appreciate it if you think otherwise and can correct me. 2) I also need to use a simultaneous unrelated regression (SUR) model since it is possible that the set of equations are related (e.g. survival might be related to performance). How do I correct for autocorrelation for the SUR model in stata? Any suggestions and advice will be much appreciated. thanks dalhia * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: RE: SUR correction for autocorrelation***From:*"Benjamin Villena Roldan" <bvillena@troi.cc.rochester.edu>

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