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


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: SURE in a dynamic heterogeneous non-stationary unbalanced panel with small sample size
Date   Sat, 7 Aug 2010 04:00:50 -0400

<>
On Aug 7, 2010, at 2:33 AM, Anirudh wrote:

> 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."

This will happen by construction if the regressors in each equation are numerically identical. Are they?

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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