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st: RE: Re: SUREG by year

From   "Martinez San Roman, Valeriano" <>
Subject   st: RE: Re: SUREG by year
Date   Mon, 2 Nov 2009 10:42:56 +0100

Thank you very much for your answer Kit,

What about dummy invariant variables? If I run panel fixed effects they will disappear. Will it occur using SUREG? Dummy invariant variables are important in my model and I have some.

Thanks again,


-----Mensaje original-----
De: [] En nombre de Kit Baum
Enviado el: sábado, 31 de octubre de 2009 15:37
Asunto: st: Re: SUREG by year

Apart from one constraint, you are describing a model fit with  
individual fixed effects (xtreg, fe). That constraint is that if you  
used SUR, you would estimate a separate sigma^2 for each equation,  
whereas FE will estimate a single sigma^2. But if you use robust SEs  
that should not matter. There really is no advantage to setting it up  
as a SUR and then constraining away all variation in slopes, as that  
variation is the rationale for using SUR in the first place.


On Oct 31, 2009, at 2:33 AM, Valeriano wrote:

> I want to run a SUR regression for a system of equations. I have the  
> same
> equation for different years and I want equal coefficients for all
> regressors except for the incercept that will be year-specific.
> I have a panel dataset, do I have to rename Y and X´s for each year
> differently in order to run SUR? What is the correct syntax for the  
> model
> and the "constancy restriction"?

Kit Baum   |   Boston College Economics & DIW Berlin   |
                               An Introduction to Stata Programming   
    An Introduction to Modern Econometrics Using Stata  |

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