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st: SUR with fixed effect estimator


From   "Emanuela Giacomini" <emanuela.giacomini@warrington.ufl.edu>
To   "statalist@hsphsun2.harvard.edu" <'statalist@hsphsun2.harvard.edu'>
Subject   st: SUR with fixed effect estimator
Date   Tue, 19 Jul 2011 10:17:46 -0400

Hi,

I have an unbalanced panel and I am using a fixed effect estimator.
I have two groups of firms and I want to run a SUR and then test whether
some of the coefficients are equal across the two groups.
My model would be:

Yi = x1i + x2i;
Yj =  x1j + x2j;


Can someone help me to understand how to do this in STATA?
Should I use xtsur or xtpcse? How should I set the data?

Thank you,

Emanuela


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