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From | Chris Parker <cparker.phd2007@london.edu> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: Panel SUR with Unbalanced Observations |
Date | Mon, 25 Oct 2010 12:53:08 +0530 |
Hi statalist, I have quarterly data on 24 brokers for two exchanges over a span of 5.5 years. I am trying to explain the allocation of the brokers orders by a number of other variables. The regression I would like to run is as an SUR with two equations, one for each exchange. However I run into two problems. First one exchange opened after another so the equations do not have the same number of observations. I attempted to solve this problem using advice from Allen McDowell: http://www.stata-journal.com/sjpdf.html?articlenum=st0079 This is where I enter the second problem which is that I have multiple brokers. The final step before running xtgee requires a tsset which I cannot do because I have multiple observations per time period corresponding to the different brokers. I think I need to wide my data so that in each exchange-time observation I have all of the independent and dependent variables. However I am not sure if this is what needs to be done. Any help understanding this process would be greatly appreciated. Additionally, I noticed a message from Kit Baum in previous posts that I think is what I need. http://www.stata.com/statalist/archive/2007-11/msg00346.html Kit, do you still have this stata code available? I would really appreciate a copy if possible. Does anyone else have an idea on how to run this regression? Chris Chris Parker ________________________________ PhD Candidate | Management Science & Operations London Business School | Regent's Park | London NW1 4SA | United Kingdom Direct line +44 (0)20 7000 8816 | Email cparker.phd2007@london.edu * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/