st: Fwd: sureg

[Marcello Pagano <pagano@hsph.harvard.edu>]

Christopher Baum wrote:
> *From: *Christopher Baum <baum@bc.edu <mailto:baum@bc.edu>>
> > *Date: *May 3, 2007 6:40:35 AM EDT
> > *To: *statalist@hsphsun2.harvard.edu 
> > <mailto:statalist@hsphsun2.harvard.edu>
> > *Cc: *vlw@stata.com <mailto:vlw@stata.com>
> > *Subject: **sureg*
> >
> > sacrificial lamb
> >
> > There are numerous cases where -sureg- run on several equations is 
> > equivalent in every way to running OLS on each equation. -sureg (y x1 
> > x2 x3)- is one of them. It is doing nothing at all beyond OLS, except 
> > for reporting a large-sample VCE.
> >
> > That said, -sureg- appears to have a bug. If you do
> >
> > webuse auto
> > reg price mpg headroom trunk
> > sureg (price mpg headroom trunk)
> > sureg (price mpg headroom trunk), small
> >
> > The latter sureg results should equal OLS in terms of the standard 
> > errors and the t-stats: that's the meaning of -small-. But that 
> > option appears to do nothing at all.
> >
> > Compare with
> >
> > ivreg2 price mpg headroom trunk
> > ivreg2 price mpg headroom trunk, small
> >
> > The first will reproduce -sureg- (with or without the small option); 
> > the second will reproduce -regress-. So there appears to be something 
> > wrong with -sureg-'s small option; it labels things as t-stats but 
> > does not appear to calculate the VCE with the smaller denominator 
> > that -small- implies. This problem applies even if -sureg- is used as 
> > intended, e.g. to estimate multiple equations.
> >
> > One more for the old cert script, developers?
> >
> > Kit
> >
> > On May 2, 2007, at 2:33 AM, statalist-digest wrote:
> >
> > It seems like sureg command works even with one equation (sureg y x). 
> > I was not aware that Zellner's SUR can work with only one equation,
> > rather than two, therefore I assume that one-equation case corrects for
> > the correlated errors by using an instrument. Am I right? If so, which
> > instrument is it using? I would appreciate it if anyone leads me to a
> > more technical discussion, or explains what the estimation command is
> > doing. 
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