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Re: st: RE: SUR correction for autocorrelation


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
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-- 
Dalhia Mani
Department of Sociology
University of Minnesota
Office: 1052 Social Sciences
267 19th Avenue South, Minneapolis
MN 55455
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