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Re: st: robust estimation SUREG


From   <pierrick.jan@art.admin.ch>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: robust estimation SUREG
Date   Sat, 28 May 2011 15:27:09 +0200

Thanks a lot for your answer!! I have also tried to perform a SUREG by introducing 
the three sets of weights generated by the rreg command but I realized that it was not 
possible. As you mention I would have to combine them somehow. However it is for me
not clear how to combine them. An arithmetic average is definitely not appropriate. I was
wondering if it would not be more appropriate to proceed as described hereafter. In a first step, 
on the basis of each robust regression performed, I determine outliers (i.e. observations under a 
certain threshold in terms of weight height). In a second step I exclude these outliers from the data set 
and  then perform the SUR regression. I am however not really satisfied with this solution. 

Pierrick Jan
__________________________________________________________________________

Date: Fri, 27 May 2011 12:47:38 -0400
From: =?ISO-8859-1?Q?Jorge_Eduardo_P=E9rez_P=E9rez?= <perez.jorge@ur.edu.co>
Subject: Re: st: robust estimation SUREG

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


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