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From |
Michael Boehm <michael.boehm1@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: How to implement FGLS on estimated regression coefficients? |

Date |
Fri, 17 Feb 2012 00:00:39 +0000 |

Dear all, I want to run a FGLS estimation on the coefficients from a seemingly unrelated regression, ie I first regress "sureg (dd i.decade##(c.t1 c.t2) ) (w i.decade##(c.t1 c.t2)), coeflegend" with output " | Coef. Legend -------------+---------------------------------------------------------------- dd | 1.decade | .1909903 _b[dd:1.decade] t1 | .1976521 _b[dd:t1] t2 | -.2013332 _b[dd:t2] | decade#c.t1 | 1 | -.0220626 _b[dd:1.decade#c.t1] | decade#c.t2 | 1 | .0245381 _b[dd:1.decade#c.t2] | _cons | .5002711 _b[dd:_cons] -------------+---------------------------------------------------------------- w | 1.decade | .5814188 _b[w:1.decade] t1 | 1.50046 _b[w:t1] t2 | 1.497409 _b[w:t2] | decade#c.t1 | 1 | .1770365 _b[w:1.decade#c.t1] | decade#c.t2 | 1 | -.1983975 _b[w:1.decade#c.t2] | _cons | 1.809371 _b[w:_cons] " Then I want to stack y=(_b[w:1.decade#c.t1] _b[w:1.decade#c.t2])' and FGLS-regress it on x=(_b[dd:t1] _b[dd:t2])' (a regression with two observations) with the weighting matrix being the covariance matrix of these parameter estimates from the previous SUR regression. Ideally, I would also like to report the value of the objective function that FGLS minimizes in optimum, because this is supposed to be chi-squared distributed with 2 degrees of freedom under the H0 that my model is true. Sorry for this long explanation, but does anyone know how to implement this procedure nicely in Stata? Thanks, Michael * * 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/

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