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Re: st: SUREG with if command.


From   David Ashcraft <ashcraftd@rocketmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: SUREG with if command.
Date   Tue, 25 Sep 2012 08:21:07 -0700 (PDT)

Hello Nick,

I think problem is not with the dummy variable. This may be related -sureg- model. It seems to me -sureg- needs a balanced panel resulting in drop of number of observations considerably while implementing -sureg-. 

Is there any other way where I can save the number of observation and still use seemingly unrelated regression model? 

Below is some descriptive stats for your review.


gen dummy=0 
. replace dummy = 1 if date2>17532

(53 real changes made)
. tabulate dummy



      dummy |      Freq.     Percent        Cum.
------------+-----------------------------------
          0 |         96       64.43       64.43
          1 |         53       35.57      100.00
------------+-----------------------------------
      Total |        149      100.00

. su rp1 rp2 rp3 rp4 rp6 rp7 rp8 rp9

    Variable |       Obs        Mean    Std. Dev.       Min        Max
-------------+--------------------------------------------------------
         rp1 |       120     .001517    .0469446  -.1935012   .1102614
         rp2 |       120    .0008538    .0545707   -.212302   .1238899
         rp3 |       120    .0016796    .0565703  -.2283529   .1202257
         rp4 |       120    .0016847    .0588602  -.2037239   .1229283
         rp6 |       120    .0015542     .056026  -.2226954   .1190248
-------------+--------------------------------------------------------
         rp7 |       120    .0016078    .0503465  -.2033414   .1073936
         rp8 |        88    .0023456    .0709356  -.2216449   .1371796
         rp9 |        88    .0033193    .0779086  -.2401649   .1579783





----- Original Message -----
From: Nick Cox <njcoxstata@gmail.com>
To: statalist@hsphsun2.harvard.edu
Cc: 
Sent: Tuesday, September 25, 2012 2:54:44 PM
Subject: Re: st: SUREG with if command.

Your results show 60 observations with non-missing values; dummy is 0
on 60 of them (all) and so necessarily 1 on 0 (none) of them. Stata's
response is reasonable; there are _no_ observations to do your last
command.

You should perhaps revisit your definition of -dummy-, which doesn't
divide the dataset.

Nick

On Tue, Sep 25, 2012 at 12:42 PM, David Ashcraft
<ashcraftd@rocketmail.com> wrote:
> Hi Statalist,
>
> I am trying to run -sureg- with multiple equation as per below. Now I have divided my data based on dummy variable and I want to see if the results are any different based on the dummy variable. Based on my data, I should get three different results i.e. one for the whole sample and two based on the dummy variable. I am getting the same result for the overall sample and where dummy==0 and getting no result for dummy==1.
>
> I don't understand why I am getting this result. Can anyone help me direct to the solution of this problem. I have looked at some older posts but there is no answer.
> Regards
>
> David
>
>
>
> sureg (rp1 rm1)(rp2 rm2)(rp3 rm3)(rp4 rm4)(rp6 rm6)(rp7 rm7)(rp8 rm8)(rp9 rm9), corr
>
> Seemingly unrelated regression
> ----------------------------------------------------------------------
> Equation          Obs  Parms        RMSE    "R-sq"       chi2        P
> ----------------------------------------------------------------------
> rp1                60      1    .0071761    0.9616    3298.70   0.0000
> rp2                60      1    .0092113    0.9465    2534.55   0.0000
> rp3                60      1    .0082266    0.9544    2847.07   0.0000
> rp4                60      1    .0091633    0.9491    2198.62   0.0000
> rp6                60      1    .0084368    0.9515    2677.13   0.0000
> rp7                60      1    .0060539    0.9711    3703.34   0.0000
> rp8                60      1     .009352    0.9866    5504.52   0.0000
> rp9                60      1    .0115533    0.9832    4137.04   0.0000
> ----------------------------------------------------------------------
>
> ------------------------------------------------------------------------------
>              |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> rp1          |
>          rm1 |   .9992066   .0173974    57.43   0.000     .9651084    1.033305
>        _cons |  -.0000674   .0009287    -0.07   0.942    -.0018876    .0017527
> -------------+----------------------------------------------------------------
> rp2          |
>          rm2 |   .9733916   .0193347    50.34   0.000     .9354963    1.011287
>        _cons |  -.0013549    .001196    -1.13   0.257     -.003699    .0009892
> -------------+----------------------------------------------------------------
> rp3          |
>          rm3 |   .9942406   .0186334    53.36   0.000     .9577198    1.030761
>        _cons |  -.0008887   .0010727    -0.83   0.407    -.0029911    .0012136
> -------------+----------------------------------------------------------------
> rp4          |
>          rm4 |   .9618481   .0205131    46.89   0.000     .9216431    1.002053
>        _cons |   .0010966   .0011632     0.94   0.346    -.0011832    .0033765
> -------------+----------------------------------------------------------------
> rp6          |
>          rm6 |   .9920405   .0191732    51.74   0.000     .9544617    1.029619
>        _cons |  -.0008398    .001099    -0.76   0.445    -.0029937    .0013142
> -------------+----------------------------------------------------------------
> rp7          |
>          rm7 |   .9873097    .016224    60.86   0.000     .9555113    1.019108
>        _cons |   .0001045   .0007886     0.13   0.895    -.0014411    .0016502
> -------------+----------------------------------------------------------------
> rp8          |
>          rm8 |   .9554066   .0128774    74.19   0.000     .9301673    .9806458
>        _cons |   .0009302   .0012033     0.77   0.439    -.0014282    .0032887
> -------------+----------------------------------------------------------------
> rp9          |
>          rm9 |   .9889603   .0153757    64.32   0.000     .9588245    1.019096
>        _cons |  -.0001408   .0014852    -0.09   0.924    -.0030518    .0027703
> ------------------------------------------------------------------------------
>
> Correlation matrix of residuals:
>
>          rp1      rp2      rp3      rp4      rp6      rp7      rp8      rp9
> rp1   1.0000
> rp2   0.1214   1.0000
> rp3   0.2210   0.9609   1.0000
> rp4   0.4345  -0.0342   0.0495   1.0000
> rp6   0.2268   0.9595   0.9982   0.0447   1.0000
> rp7   0.9088   0.2710   0.3749   0.7114   0.3763   1.0000
> rp8   0.2240   0.0839   0.0896  -0.0739   0.0987   0.1232   1.0000
> rp9   0.2100   0.1163   0.1462  -0.0321   0.1497   0.1600   0.7653   1.0000
>
> Breusch-Pagan test of independence: chi2(28) =   338.778, Pr = 0.0000
>
> . sureg (rp1 rm1)(rp2 rm2)(rp3 rm3)(rp4 rm4)(rp6 rm6)(rp7 rm7)(rp8 rm8)(rp9 rm9)if dummy==0, corr
>
> Seemingly unrelated regression
> ----------------------------------------------------------------------
> Equation          Obs  Parms        RMSE    "R-sq"       chi2        P
> ----------------------------------------------------------------------
> rp1                60      1    .0071761    0.9616    3298.70   0.0000
> rp2                60      1    .0092113    0.9465    2534.55   0.0000
> rp3                60      1    .0082266    0.9544    2847.07   0.0000
> rp4                60      1    .0091633    0.9491    2198.62   0.0000
> rp6                60      1    .0084368    0.9515    2677.13   0.0000
> rp7                60      1    .0060539    0.9711    3703.34   0.0000
> rp8                60      1     .009352    0.9866    5504.52   0.0000
> rp9                60      1    .0115533    0.9832    4137.04   0.0000
> ----------------------------------------------------------------------
>
> ------------------------------------------------------------------------------
>              |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> rp1          |
>          rm1 |   .9992066   .0173974    57.43   0.000     .9651084    1.033305
>        _cons |  -.0000674   .0009287    -0.07   0.942    -.0018876    .0017527
> -------------+----------------------------------------------------------------
> rp2          |
>          rm2 |   .9733916   .0193347    50.34   0.000     .9354963    1.011287
>        _cons |  -.0013549    .001196    -1.13   0.257     -.003699    .0009892
> -------------+----------------------------------------------------------------
> rp3          |
>          rm3 |   .9942406   .0186334    53.36   0.000     .9577198    1.030761
>        _cons |  -.0008887   .0010727    -0.83   0.407    -.0029911    .0012136
> -------------+----------------------------------------------------------------
> rp4          |
>          rm4 |   .9618481   .0205131    46.89   0.000     .9216431    1.002053
>        _cons |   .0010966   .0011632     0.94   0.346    -.0011832    .0033765
> -------------+----------------------------------------------------------------
> rp6          |
>          rm6 |   .9920405   .0191732    51.74   0.000     .9544617    1.029619
>        _cons |  -.0008398    .001099    -0.76   0.445    -.0029937    .0013142
> -------------+----------------------------------------------------------------
> rp7          |
>          rm7 |   .9873097    .016224    60.86   0.000     .9555113    1.019108
>        _cons |   .0001045   .0007886     0.13   0.895    -.0014411    .0016502
> -------------+----------------------------------------------------------------
> rp8          |
>          rm8 |   .9554066   .0128774    74.19   0.000     .9301673    .9806458
>        _cons |   .0009302   .0012033     0.77   0.439    -.0014282    .0032887
> -------------+----------------------------------------------------------------
> rp9          |
>          rm9 |   .9889603   .0153757    64.32   0.000     .9588245    1.019096
>        _cons |  -.0001408   .0014852    -0.09   0.924    -.0030518    .0027703
> ------------------------------------------------------------------------------
>
> Correlation matrix of residuals:
>
>          rp1      rp2      rp3      rp4      rp6      rp7      rp8      rp9
> rp1   1.0000
> rp2   0.1214   1.0000
> rp3   0.2210   0.9609   1.0000
> rp4   0.4345  -0.0342   0.0495   1.0000
> rp6   0.2268   0.9595   0.9982   0.0447   1.0000
> rp7   0.9088   0.2710   0.3749   0.7114   0.3763   1.0000
> rp8   0.2240   0.0839   0.0896  -0.0739   0.0987   0.1232   1.0000
> rp9   0.2100   0.1163   0.1462  -0.0321   0.1497   0.1600   0.7653   1.0000
>
> Breusch-Pagan test of independence: chi2(28) =   338.778, Pr = 0.0000
>
> . sureg (rp1 rm1)(rp2 rm2)(rp3 rm3)(rp4 rm4)(rp6 rm6)(rp7 rm7)(rp8 rm8)(rp9 rm9)if dummy==1, corr
> insufficient observations
> r(2001);
>

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