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st: re: SUR and autocorrelation

From   Christopher Baum <>
To   <>
Subject   st: re: SUR and autocorrelation
Date   Thu, 23 Sep 2010 11:12:53 -0400

Anyone know how to correct for autocorrelation in SUR models?. I
performed Durbin Watson test and found that in 3 equations (4
equations total) , the disturbances are positively autocorrelated.

There is no good reason why the robust and Newey-West (HAC) covariance matrix estimators are not available in -sureg, as it is just glorified OLS regression-. You could compute bootstrap standard errors, as -sureg- allows the -bootstrap- prefix.


Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

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