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st: SUR correction for autocorrelation


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
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