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st: Comparison two SUR models


From   Andres Susaeta <susaeta.andres@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Comparison two SUR models
Date   Sun, 3 Oct 2010 20:10:33 -0400

Hello Statalisters

I'm using seemingly unrelated regression (SUR) technique to estimate
four models (equations). I have imposed symmetry in this model (some
coefficients amog different equations are the same). I have also run
the same 4 equations under the same approach without imposing
symmetry. I want to compare both models to see which one is more
appropriate. I have calculated McElroy's R square and F test (overall
significance). However, I'm not sure if these two statistics will be
useful to conduct a typical F test between the 2 models. (restricted
vs unrestricted) because the way they are constructed differ from the
traditional R square and F test . I would really apprecciate if anyone
can share some insights about this topic and if there is a STATA
command to perfom this analysis.

Best

Ignacio
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