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st: Estimator allowing for serial correlation and contemporaneous correlation?


From   David Byron Cashin <cashin@umich.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Estimator allowing for serial correlation and contemporaneous correlation?
Date   Fri, 06 Aug 2010 22:18:11 -0400

Hello,

I am working with two time-series equations combined into one regression, and would like to allow for contemporaneous correlation between the residuals from the two equations, as is the case for seemingly unrelated regressions.

Furthermore, the data I am using is of a rotating panel nature, in which the majority of the sample from one month is present in the next month's sample. Thus, I want to allow for serial correlation up to a specified number of lags, as is allowed with Stata's newey2 estimator (which I use since I have multiple time-series equations).

However, Stata's sureg command does not allow for serial correlation up to several lags, and newey2 does not allow for contemporaneous correlation between the residuals in the two equations.

Does Stata have a command, or has anyone programmed such a command, that allows for both?

Thanks,
David
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