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st: SUR system - Compare intercepts from several regression


From   Adrian Stork <storkadrian@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: SUR system - Compare intercepts from several regression
Date   Tue, 29 Oct 2013 20:01:10 +0100

Dear Stata friends,

Sorry for asking but I've got the following problem(s):
Starting with the actual issue I simply want to compare intercept
values from 50 regressions with each other. I found the following
post,
http://www.stata.com/statalist/archive/2006-06/msg00837.html
giving me almost the solution. It works perfectly fine for the
coefficients but I don't know how to apply this test on the intercept.
I tried

suest regprice regmpg
test [regprice_mean]intercept=[regmpg_mean]intercept but that doesn't work.

In addition when I looked at the suest command in the description, I
saw that it refers to "Seemingly unrelated estimation" what is
actually what I wanted in the first place (running "sureg" over all 50
dependent variables and compare intercepts) I received the error
message "insufficient observations". Of couse, I know that I have
quite a few missing values (i.e. the first dependent variable is
complete with monthly 250 observations while the second one has merely
50 monthly observations, etc.). Still, when I running the SUR system
with the first and second dependent variable (on independent variables
with complete 250 observations), I get the error message "insufficient
obs". When I'm running it with suest: everthing fine and I get a test
statistic for the Null.
So, in a nutshell, how can I test the intercepts with suest and is
there a way to make "sureg" run although  I've got quite some missing
values in the dependent variables?

Best regards,
Ad
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