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st: interpretation of sureg with no significant results


From   Mirko Moro <mirko.moro@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: interpretation of sureg with no significant results
Date   Sat, 3 Nov 2012 23:50:27 +0000

Dear Statalisters,

A referee suggested to run the following type of SUR

sureg (y1 x1 x2) (x1 x2)

because he feels that x2 might have both a direct impact on y1, as
well as an indirect one via x2.

The results for the first equation shows that the coefficients on x1
and x2 are statistically significant and are virtually identical to a
simple regression such as:

reg y1 x1 x2

In the second regression the coefficient on x2 is *not* statistically
significant.

Is it correct to affirm that these results suggest that the effect of
x2 on y1 is direct and it is not mediated by x1?

Hope somebody can shed some light on this.

Best wishes,
Mirko

--
Mirko Moro
Lecturer in Economics
Economics Division
University of Stirling
FK94LA
Scotland (UK)
t: +44(0)1786467479
f: +44(0)1786467469
e: mirko.moro@stir.ac.uk
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