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Re: st: robust estimation SUREG


From   Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: robust estimation SUREG
Date   Fri, 27 May 2011 12:47:38 -0400

You could use the -genwt- option in -rreg- to generate the weights
used in the robust regression, then use those weights in -sureg-. You
will have three sets of weights from your first three regressions, and
-sureg- will only allow a set of weights, so you would have to combine
them somehow.
_______________________
Jorge Eduardo Pérez Pérez



On Fri, May 27, 2011 at 12:11 PM, pierrick.jan@art.admin.ch
<pierrick.jan@art.admin.ch> wrote:
> Dear Stata-List Members,
>
> I am investigating the determinants of three indicators of corporate performance for a cross-section made of 480 firms. Due to the presence of outliers I performed in a first step a robust regression using the rreg command of Stata (rreg combines two types of robust weighting: iteratively reweighted least squares and biweight estimator). In a second step, for each of the three regressions performed, I predicted the residuals and investigated the correlation between the residuals of each of the three equations. It turned out that the residuals were correlated, which advocates for the use of a SUR model. Unfortunately I could not find any information on how to perform in Stata a robust estimation of the SUR model (i.e. on how to combine the robust approach underlying the rreg command and the SUR approach underlying the sureg command).
>
> Any suggestion will be greatly appreciated!
>
> Thanks in advance!
>
> Kind regards,
>
> Pierrick Jan
>
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