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

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: SUR correction for autocorrelation |

Date |
Sat, 4 Oct 2008 22:43:15 -0500 |

Benjamin, Thanks. This is useful but I'd like to clarify and make sure I understand your comments. I apologize if these are really elementary questions. I'm still trying to figure this stuff out. 1) The data is not time series. I have data about firms for a single time period, and I also have data indicating which firms belong to which cluster of firms. From what I understand, you are suggesting that I should use the Prais-Winston command in stata, with a "cluster" option?? Did I understand you correctly? 2) I am a bit confused about whether I should be using SUR or simultaneous equations. My three equations look something like this: y1=f(X+Z)+e_1 y2=g(X+Z)+y1+e_2 y3=g(X+Z)+y1+y2+e_3 This set of equations looks like simultaneous equations since independent variables in one equation become dependent variables in another. However, I also seem to remember that in cases where all equations use the same exogenous variables (X and Z), I should be using SUR. Thanks for your suggestions and help. I appreciate it. dalhia On Sat, Oct 4, 2008 at 4:41 PM, Benjamin Villena Roldan <bvillena@troi.cc.rochester.edu> wrote: > 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/ > -- Dalhia Mani Department of Sociology University of Minnesota Office: 1052 Social Sciences 267 19th Avenue South, Minneapolis MN 55455 * * 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:*"Benjamin Villena Roldan" <bvillena@troi.cc.rochester.edu>

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

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

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