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Re: st: Questions about xtsur, heteroskedasticity, and auto-correlation


From   Xia Zhao <xia.zhao07@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Questions about xtsur, heteroskedasticity, and auto-correlation
Date   Wed, 6 Jun 2012 21:46:59 -0400

Questions about SUR, heteroskedasticity and auto-correlation

Thanks a lot, Tirthankar.

Is there any way to estimate SUR with heteroskedasticity and
auto-correlation? Thanks.

Sincerely,

Olivia

On Wed, Jun 6, 2012 at 6:17 PM, Tirthankar Chakravarty
<tirthankar.chakravarty@gmail.com> wrote:
> The one-way random effects model for unbalanced panels in Biorn (2004;
> full reference in the helpfile for -xtsur- (SSC)) which is what
> -xtsur- estimates does not account for serial correlation over time,
> nor arbitrary individual specific heteroskedasticity other than that
> arising from the vector of random effects.
>
> See the discussion in Biorn (2004) on page 283 after equation (1).
>
> Best,
>
> T
>
> On Wed, Jun 6, 2012 at 2:01 PM, Xia Zhao <xia.zhao07@gmail.com> wrote:
>> Questions about xtsur, heteroskedasticity, and auto-correlation.
>>
>> I want to run SUR on unbalanced panel data. I just installed xtsur on
>> my laptop.
>>
>> My understanding is that xtsur uses GLS to estimate the coefficients.
>> So it can handle both heteroskedasticity and auto-correlation? Is it
>> right?
>>
>> It seems that xtsur does not report R square. Do I have to calculate it myself?
>>
>> Thanks!!
>>
>> Olivia
>> *
>> *   For searches and help try:
>> *   http://www.stata.com/help.cgi?search
>> *   http://www.stata.com/support/statalist/faq
>> *   http://www.ats.ucla.edu/stat/stata/
>
>
>
> --
> Tirthankar Chakravarty
> tchakravarty@ucsd.edu
> tirthankar.chakravarty@gmail.com
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


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