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st: -sureg- in -xtreg-

From   "D.Christodoulou" <[email protected]>
To   [email protected]
Subject   st: -sureg- in -xtreg-
Date   Fri, 12 Mar 2004 17:56:44 +0000

Dear Statalisters,

I have a panel of firms with yearly data on a number of (log) variables.
Assume there are 5 variables. Without firm effects, I can use -sureg- to
detrend all variables by a single constrained growth rate as follows: 

	gen t1 = time
	gen t2 = time
	gen t3 = time
	gen t4 = time
	gen t5 = time

	constraint define 1 t2=t1
	constraint define 2 t3=t2
	constraint define 3 t4=t3
	constraint define 4 t5=t4

sureg (X1: lnx1 t1) (X2: lnx2 t2) (X3: lnx3 t3) (X4: lnx4 t4) (X5: lnx5
t5), constraint (1 2 3 4)

The model detrends each variable using the constrained slope across the 5
variables and allows the intercepts (i.e. estimated initial values) to
vary. The fitted values for any variable (e.g. lnx1), which vary with time
but not with firm, are given by:

	predict fvx1, equation(X1) xb

To introduce firm effects in -sureg- I may use -by firm- . The SURs then
run successively for a large number of firms. 

Using this approach, how do I
(i) obtain a coparable table of parameter estimates for all the estimated
-by firm, sureg- 
(ii) extract a vector of fitted values for each of the variables?  

ALso, I want to run this as a single model, in order to then compare with
other models, including -xtreg-, -xtregar- and -xtabond-. 

To set the data up as panel data, we use the commands

	gen year = time + <base year>
	tsset firm year, yearly

Therefore, how can I run the SUR model with panel data? 

All comments are welcome,many thanks in advance

Dimitris Christodoulou
School for Business and Regional Development
University of Wales, Bangor
Hen Coleg
LL57 2DG Bangor
e-mail: [email protected]
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