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st: Seemingly unrelated regression or similar estimation

From   Ed Levitas <>
Subject   st: Seemingly unrelated regression or similar estimation
Date   Tue, 23 Sep 2003 09:25:29 -0500


I have two equations:

F = B(0) + B(1)var1 + B(2)var2 + U(1)
G = Y(0) + Y(1)var1 + Y(2)var2 + U(2)

F is continuous and G is a positive integer.  Are there ways I can perform
joint tests of coefficients across the two equations (e.g. B(1) = Y(1) = 0).
This seems like a Seemingly Unrelated Regression.  But given the difference
in error distributions, I would think some major modifications are in order.
Can anyone suggest recommendations (e.g. ado files), citations, etc.

Thanks in advance for your time and consideration.


Edward Levitas, PhD
Assistant Professor
School of Business Administration
University of Wisconsin-Milwaukee
3202 N. Maryland Ave.
Milwaukee, WI  53211
ph: (414) 229-6825
fx: (414) 229-6957

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