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st: SURE in a dynamic heterogeneous non-stationary unbalanced panel with small sample size


From   Anirudh Shingal <Anirudh.Shingal@wti.org>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: SURE in a dynamic heterogeneous non-stationary unbalanced panel with small sample size
Date   Fri, 6 Aug 2010 13:57:07 +0200

Dear All,

I have a dynamic heterogeneous non-stationary unbalanced panel with N=14 and T=25 and several explanatory variables.

When I use SUREG to estimate the model for each cross-section, STATA says that the "covariance matrix of residuals is singular."

What should I do?

Many thanks,
Anirudh


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