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st: Re: SUREG by year


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: SUREG by year
Date   Sat, 31 Oct 2009 10:36:47 -0400

<>
Apart from one constraint, you are describing a model fit with individual fixed effects (xtreg, fe). That constraint is that if you used SUR, you would estimate a separate sigma^2 for each equation, whereas FE will estimate a single sigma^2. But if you use robust SEs that should not matter. There really is no advantage to setting it up as a SUR and then constraining away all variation in slopes, as that variation is the rationale for using SUR in the first place.

Kit

On Oct 31, 2009, at 2:33 AM, Valeriano wrote:

I want to run a SUR regression for a system of equations. I have the same
equation for different years and I want equal coefficients for all
regressors except for the incercept that will be year-specific.

I have a panel dataset, do I have to rename Y and X´s for each year
differently in order to run SUR? What is the correct syntax for the model
and the "constancy restriction"?


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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