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st: NLSUR with unbalanced panel


From   Shawn Tan <shawnt@student.unimelb.edu.au>
To   statalist@hsphsun2.harvard.edu
Subject   st: NLSUR with unbalanced panel
Date   Fri, 30 Sep 2011 17:38:51 +1000

Hi Statalist,

I am looking at bilateral trade flows between a group of countries. It
is an unbalanced: each exporter (i) does not have the same number of
observations (i.e. importers).
The regression looks like this:
Y(i) = a(i)*p X + a(i) Z
There is a exporter-specific parameter, a(i), and a common parameter,
p. I want to run a SUR by exporter and impose a constraint that the
ratio of the coefficient (= p) is equal across all countries.

Initially, I thought I could use the suregub command explained by Baum
in "Introduction to Stata Programming" but I don't know how to impose
my constraints on the estimation.
Then I thought I could use nlsur because it can use the substitutable
expressions but nlsur cannot be done for unbalanced panel.

I would appreciate any help in either how to impose the constraints
with the suregub command or using the nlsur with an unbalanced panel.

Thank you.

Shawn
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