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st: Re: SUREG by year

From   Kit Baum <>
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.


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   |
An Introduction to Stata Programming |
   An Introduction to Modern Econometrics Using Stata  |

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