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Re: st: SUREG with if command.


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: SUREG with if command.
Date   Tue, 25 Sep 2012 18:38:56 +0100

Thanks for this correction!

Nick

On Tue, Sep 25, 2012 at 6:23 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> It is indeed possible in principle to use the additional obs.  -sureg-
> and -reg3- are estimating the error components for a 2-eqn model, so the
> estimated covariance matrix is 2x2:
>
> . qui reg3 (mpg rep78) (trunk turn), ols
>
> . mat list e(Sigma)
>
> symmetric e(Sigma)[2,2]
>               mpg       trunk
>   mpg   29.274269
> trunk  -5.0326348   12.233795
>
> The above uses OLS appled to 69 obs for both equations.  If we use
> -regress- to estimate the mpg eqn, where only 69 obs are available, we
> get the same error variance:
>
> . qui reg mpg rep78
>
> . di e(rmse)^2
> 29.274269
>
> But -regress- applied to the trunk equation on its own uses all 74 obs,
> and so the error variance is different (and, since it uses more obs,
> preferable):
>
> . qui reg trunk turn
>
> . di e(rmse)^2
> 11.848587
>
> In principle -sureg-/-reg3- should use the additional 5 obs when
> estimating the trunk equation.  Not to do so is throwing away
> information.
>
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