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st: RE: Re: SUREG by year


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


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