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From |
"Martinez San Roman, Valeriano" <valeriano.martinez@unican.es> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: RE: Re: SUREG by year |

Date |
Mon, 2 Nov 2009 10:42:56 +0100 |

Thank you very much for your answer Kit, What about dummy invariant variables? If I run panel fixed effects they will disappear. Will it occur using SUREG? Dummy invariant variables are important in my model and I have some. Thanks again, Valeriano. -----Mensaje original----- De: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] En nombre de Kit Baum Enviado el: sábado, 31 de octubre de 2009 15:37 Para: statalist@hsphsun2.harvard.edu Asunto: st: Re: SUREG by year <> 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 * * 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/

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