Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Lucas <lucaselastic@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: FGLS vs. OLS |

Date |
Tue, 16 Jul 2013 12:53:16 -0700 |

I can only look at the stata documentation to see what they say -sureg- is using. I know of no way to reverse engineer the command to see assess whether the documentation is accurate or not. However, I would say that getting the same answer with -regress- and -sureg- does NOT mean that -sureg- is using OLS. FGLS gives the same coefficients as OLS if the same variables are used in the multiple equations one uses in -sureg-. I should note, also, that you have only 1 equation in your -sureg-command. -Sureg- is for Zellner's model, and Zellner's model is for multiple dependent variables and multiple sets of (likely different) X (i.e., independent) variables. I do not know the -sureg- command enough to know what happens if you use it with only 1 dependent variable--perhaps it presumes you made a mistake, and reverts to OLS. Stata staff or other users may know what happens in such a case, but I do not. Sorry. Sam On Tue, Jul 16, 2013 at 11:09 AM, Jordan Silberman <silberman.stata@gmail.com> wrote: > This makes sense. But my question is--if sureg uses FGLS, and if FGLS > yields coefficient estimates that differ from those of OLS, then why > do the sureg and regress commands (which should be using FGLS and OLS, > respectively) yield the exact same regression coefficients? Is sureg > perhaps not really using FGLS? > > On Tue, Jul 16, 2013 at 1:57 PM, Lucas <lucaselastic@gmail.com> wrote: >> It is my understanding that Seemingly Unrelated Regression gives the >> same results as one-by-one OLS estimation unless one has different X's >> in the equations. Even if the X's are the same in all equations, SUR >> can still be useful because SUR allows appropriate tests of >> coefficients across equations (because SUR allows coefficients to have >> non-zero covariances, which are needed to appropriately test them >> across equations). >> >> Sam >> >> On Tue, Jul 16, 2013 at 9:31 AM, Jordan Silberman >> <silberman.stata@gmail.com> wrote: >>> Thanks Dr. Reed. Stata documentation states that the sureg (seemingly >>> unrelated regression) command uses FGLS. Therefore, it seems to me >>> that one should be able to use FGLS to estimate a simple model in >>> which x predicts y with the following command: >>> >>> sureg (y x) >>> >>> If sureg uses FGLS, and if the FGLS coefficients are different from >>> those of OLS, then you'd expect the command above to yield >>> coefficients that differ from those of a simple OLS regression. >>> However, when I use a command like "regress y x" to estimate the same >>> model with OLS, I get the exact same coefficients (standard errors/p >>> values differ). Why am I getting identical coefficients here, if the 2 >>> commands use 2 different estimators that should yield different >>> coefficients? >>> >>> Thanks, >>> Jordan >>> >>> On Tue, Jul 16, 2013 at 12:03 PM, Bob Reed <bob.reed@canterbury.ac.nz> wrote: >>>> Hi Jordan, >>>> >>>> OLS and GLS estimators will produce different estimates. The formulae are different, as you can check by referring to most econometrics textbooks. >>>> >>>> W. Robert Reed >>>> Professor >>>> Department of Economics and Finance >>>> University of Canterbury >>>> Private Bag 4800 >>>> Christchurch >>>> New Zealand >>>> Phone: +64-3-3642846 >>>> Fax: +64-3-3642635 >>>> Email: bobreednz@yahoo.com >>>> Homepage: http://www.econ.canterbury.ac.nz/personal_pages/bob_reed/ >>>> >>>> Replications Co-Editor, Public Finance Review >>>> http://www.sagepub.com/journalsProdEditBoards.nav?prodId=Journal200768 >>>> >>>> Editor, ISRN Economics >>>> http://www.isrn.com/journals/economics/editors/ >>>> >>>> ________________________________________ >>>> From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] on behalf of Jordan Silberman [silberman.stata@gmail.com] >>>> Sent: Wednesday, 17 July 2013 3:50 a.m. >>>> To: statalist@hsphsun2.harvard.edu >>>> Subject: st: FGLS vs. OLS >>>> >>>> Can anyone tell me if it's correct that coefficients computed from an >>>> OLS regression should be equal to those computed from feasible >>>> generalized least squares (FGLS) estimation, while standard errors and >>>> p values should differ across the 2 methods? I'm interested in >>>> comparing a single linear model across the 2 methods, so there's no >>>> "seemingly unrelated regression." Thanks, Jordan >>>> * >>>> * For searches and help try: >>>> * http://www.stata.com/help.cgi?search >>>> * http://www.stata.com/support/faqs/resources/statalist-faq/ >>>> * http://www.ats.ucla.edu/stat/stata/ >>>> >>>> This email may be confidential and subject to legal privilege, it may >>>> not reflect the views of the University of Canterbury, and it is not >>>> guaranteed to be virus free. If you are not an intended recipient, >>>> please notify the sender immediately and erase all copies of the message >>>> and any attachments. >>>> >>>> Please refer to http://www.canterbury.ac.nz/emaildisclaimer for more >>>> information. >>>> >>>> * >>>> * For searches and help try: >>>> * http://www.stata.com/help.cgi?search >>>> * http://www.stata.com/support/faqs/resources/statalist-faq/ >>>> * http://www.ats.ucla.edu/stat/stata/ >>> * >>> * For searches and help try: >>> * http://www.stata.com/help.cgi?search >>> * http://www.stata.com/support/faqs/resources/statalist-faq/ >>> * http://www.ats.ucla.edu/stat/stata/ >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/faqs/resources/statalist-faq/ >> * http://www.ats.ucla.edu/stat/stata/ > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**References**:**st: FGLS vs. OLS***From:*Jordan Silberman <silberman.stata@gmail.com>

**st: RE: FGLS vs. OLS***From:*Bob Reed <bob.reed@canterbury.ac.nz>

**Re: st: RE: FGLS vs. OLS***From:*Jordan Silberman <silberman.stata@gmail.com>

**Re: st: RE: FGLS vs. OLS***From:*Lucas <lucaselastic@gmail.com>

**Re: st: RE: FGLS vs. OLS***From:*Jordan Silberman <silberman.stata@gmail.com>

- Prev by Date:
**Re: st: RE: ivreg2 questions (shea r2 and AP Statistic)** - Next by Date:
**st: mi impute chained troubleshooting** - Previous by thread:
**Re: st: RE: FGLS vs. OLS** - Next by thread:
**st: Problem with sem and factor predictor variables** - Index(es):