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st: re: SUR with endogenous regressors


From   Christopher Baum <kit.baum@bc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: re: SUR with endogenous regressors
Date   Wed, 4 Aug 2010 20:32:35 -0400

<>
I'm wondering whether someone can help me (give me some hints) about
whether there is a Stata command to estimate a seemingly unrelated
regression (SUR) with endogenous covariates

Strictly speaking, no, because there is no such thing. SUR equations must be proper OLS regressions in which there
are no endogenous variables as regressors.

What you are describing is, essentially, three-stage least squares, and you can do that with -reg3-. However both -sureg- and -reg3- are rather antiquated implementations of these methodologies, as unlike almost every other regression-like estimation command, they lack a -vce- option (or the ability to employ -robust- or -cluster-, etc.)

Kit

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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