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st: 答复: st: joint estimation of OLS and logit in seemingly unrelated regressions


From   #WANG ZITIAN# <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: 答复: st: joint estimation of OLS and logit in seemingly unrelated regressions
Date   Wed, 23 May 2012 14:34:45 +0000

After reading your post again, Maarten, can I ask how I can use suest to circumvent the correlation between different models' error terms?

Thanks, 
Zitian

-----邮件原件-----
发件人: [email protected] [mailto:[email protected]] 代表 Maarten Buis
发送时间: 23 May 2012 22:00
收件人: [email protected]
主题: Re: st: joint estimation of OLS and logit in seemingly unrelated regressions

On Wed, May 23, 2012 at 3:49 PM, #WANG ZITIAN# wrote:
> However, I find that using suest command with clustering generates almost the same standard errors comparing estimating each individual regression with clustering option. Could you explain why it is the case?

-suest- does not explicitly model any correlation between the models'
error terms, it circumvents that problem by using a variance
covariance matrix of the sandwich/robust type. So I am not surprised
by what you find.

-- Maarten

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany


http://www.maartenbuis.nl
--------------------------
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