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Re: st: SUREG with if command.


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: SUREG with if command.
Date   Wed, 26 Sep 2012 11:40:58 +0000

<>
On Sep 26, 2012, at 2:33 AM, Mark 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.


That's why I wrote -suregub-.  findit suregub

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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