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st: xtsur updated on SSC

From   Minh Nguyen <[email protected]>
To   [email protected]
Subject   st: xtsur updated on SSC
Date   Fri, 1 Oct 2010 14:35:57 -0400

Courtesy of Kit Baum, xtsur.ado is updated on the SSC-Archive.

Update: As requests from several people, the variance-covariance
matrices of random effect and error term are added in output tables.
To display these matrices, type -matrix list e(sigma_u)- or -matrix
list e(sigma_e)-.

-xtsur- One-way random effect estimation of seemingly-unrelated
regressions (SUR) in unbalanced panel data set.

-xtsur- fits a many-equation seemingly-unrelated regression (SUR)
model of the y1 variable on the x1 variables and the y2 variable on
the x1 or x2 variables and etc..., using random effect (RE) estimators
in the context of unbalanced panel data. The approach for this command
is based on constructing a stepwise algorithm using Generalized Least
Squares (GLS) and the Maximum Likelihood (ML) procedures. The method
is originally developed by Erik Biorn (Journal of Econometrics, 2004).

To install/update, type within Stata: -ssc install xtsur, replace-

Minh Nguyen
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