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st: re: SUR and autocorrelation


From   Christopher Baum <kit.baum@bc.edu>
To   <statalist@hsphsun2.harvard.edu>
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

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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