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From |
"Benjamin Villena Roldan" <bvillena@troi.cc.rochester.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: SUR correction for autocorrelation |

Date |
Sat, 4 Oct 2008 17:41:41 -0400 |

Hi You don't mention whether your data is a cross-section or a panel. That's quite important. Regarding (1) you have clusters of firms, so you can estimate your variance matrix using the option cluster. Cochrane-Orcutt works for time autocorrelation, so you need a measure of "proximity"among the firms within a cluster. I think you don't have that. In time-series, that measure is given by the time dimension. Regarding (2), I think you need to think carefully about the relationship among your equations. Are you estimating structural or reduced forms equations? For instance, is accounting performance included as a regressor in your stock-market valuation?. If it is you have a simultaneous equation model. If it's not, you're estimating a reduced form, but you have to be very careful about the interpretation of your marginal effects. I hope it helps Benjamin -----Mensaje original----- De: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] En nombre de Dalhia Mani Enviado el: Saturday, October 04, 2008 4:48 PM Para: statalist@hsphsun2.harvard.edu Asunto: st: SUR correction for autocorrelation 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/ * * 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**:**Re: st: RE: SUR correction for autocorrelation***From:*"Dalhia Mani" <dalhia.mani@gmail.com>

**References**:**st: SUR correction for autocorrelation***From:*"Dalhia Mani" <dalhia.mani@gmail.com>

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