I have a question about the technique details of sur employed in proc syslin or proc model. February, 2020 comments welcome 1this manuscript may be printed and reproduced for individual or instructional use, but may not be printed for commercial purposes. To get more efficient estimates of the coefficients, you would need to use zellners sur seeminglyunrelated regressions estimator, available in stata as sureg. Hansen 2000, 20201 university of wisconsin department of economics this revision. Stata module to estimate seemingly unrelated regression model on unbalanced panel data xtsur fits a manyequation. Useful stata commands 2019 rensselaer polytechnic institute. In econometrics, the seemingly unrelated regressions sur. Use the parameter estimates from this regression to compute the. The acronym sur stands for seemingly unrelated regression equations which was described by zellner 1962. Stata module to estimate seemingly unrelated regression.
Powell department of economics university of california, berkeley overview the seemingly unrelated regressions sur model, proposed by zellner, can be viewed as a special case of the generalized regression model eyx. Second, and somewhat more constructively, since you are in fixed effects land, you can demean your variables by hand to wipe out the fixed effects the within transformation. Aside from this conceptual relationship, the two linear regression models have. Seemingly unrelated regressions and dynamic panel data. Browse stata s features for linear models, including several types of regression and regression features, simultaneous systems, seemingly unrelated regression, and much more. When the number t of observations is large, the ols estimators are consistent asymptotically normal. Chapter 18 seemingly unrelated regression equations models. Seemingly unrelated regressions in panel models presented by catherine keppel, michael anreiter and michael greinecker. Extract from the stata help section for the full details go into stata and press help button type sureg will not be examined on this appendix r sureg zellners seemingly unrelated regression syntax sureg fits seemingly unrelated regression models zellner 1962.
In a panel data, in order to estimate a seemingly unrelated regression, would it be possible to use sureg. For your information, im trying to use stata to crosscheck some estimation results i obtained using tsp. Then consistent approximations of the specific factors are the. The basic seemingly unrelated regression model assumes that for each individual observation i there are m dependent variables y ij,j 1. I am a bit confused on whether or not i have to use a fixedeffect panel timeseries method or sur seemingly unrelated regression.
It describes estimators used in the basic model as well as recent extensions. Then parameters in b and c matrices can be estimated by ols performed separately for each row of the system. For the latest version, open it from the course disk space. Seemingly unrelated regression an overview sciencedirect topics. Consider two dependent variables that are considered as a group because they bear a close conceptual relationship to one another. Is there any possibility of extending sur model to a dataset in panel format, in order to estimate two equations. Econometrics of panel data warsaw school of economics.
How can i perform seemingly unrelated regression in r. The simplest regression model for such data is pooled ordinary least squares ols, the specification for which may be written as. The sur estimator amounts to a flexible form of the random effects panel. In stata the command is sureg y1 y2 y3 x2 y2 x1 x2 y3 x2 x3, corr the option corr would produce the correlation coefficient for learning. We know that sur will use the crossequation variancecovariance matrix to do the estimation. Useful commands in stata z twostage least squares the structural form. You may think that sureg is a panel data estimator, but it does not. Seemingly unrelated regression for technical questions regarding estimation of single equations, systems, vars, factor analysis and state space models in eviews. When should we use sur instead of fixed or random effect. A likely deviation from independent errors in the context of pooled crosssection timeseries data or panel. General econometric questions and advice should go in the econometric discussions forum. How to calculate nonlinear seemingly unrelated regression.
For example, demand functions can be estimated for di. Estimation of seemingly unrelated regressions with random coefficients balvir singh and aman ullah this article deals with the problem of estimating the set of seemingly unrelated regressions sur when the regression coefficients are random. Term paper on seemingly unrelated regression by anomita ghosh nitin kumar sinha sudipta ghosh udayan rathore econometrics ii. Statistical software components from boston college department of economics. Seemingly unrelated regression sur, also called joint generalized least squares jgls or zellner estimation, is a generalization of ols for multiequation systems. Second, and somewhat more constructively, since you are in fixedeffectsland, you can demean your variables by hand to wipe out the fixed effects the within transformation. Seemingly unrelated regressions econometrics academy. The sur estimator amounts to a flexible form of the randomeffects panel. The random effects estimator is applicable in the context of panel data that is, data comprising observations on two or more units or groups e. This paper describes how to specify, estimate, and test multipleequation, fixed effect, paneldata equations in stata. This document briefly summarizes stata commands useful in econ4570 econometrics. Seemingly unrelated regressions a seemingly unrelated regression sur system comprises several individual relationships that are linked by the fact that their disturbances are correlated. At first look, the equations seem unrelated, but the equations are related through the correlation in the errors.
The approach for this command is based on constructing a stepwise algorithm using generalized least squares gls and the maximum likelihood. Seemingly unrelated regressions sur 1 examples demand for some commodities. In stata, sur can be estimated using the sureg and suest commands. Stata module to estimate seemingly unrelated regression model on unbalanced panel data. In this study, we performed the seemingly unrelated regression sur based models, with respect to each observation time in longitudinal data with intermittently observed timedependent covariates and further compared these models with mixedeffect regression models. All i know at this point is that i could use xtreg to estimate a single equation with fixed effects, and sureg to estimate a system of equations. First lets install the systemfit r package which requires installation of three other. Seemingly unrelated regressions with spatial error components.
When the objective is to explain the whole system, there may be more than one multiple regression equations. Seemingly unrelated regressions stata program and output. By specifying the system of equations as seemingly unrelated regressions, stata paneldata procedures worked seamlessly for estimation and testing of individual variable coefficients, but additional routines using test were needed for testing of individual equations. By specifying the system of equations as seemingly unrelated regressions, stata paneldata procedures worked seamlessly for estimation and testing of. When should we use sur instead of fixed or random effect model.
Tables 46 present seemingly unrelated regression sur estimates of regressions. Tables of regression results using statas builtin commands. Estimation of seemingly unrelated regressions with random. Seemingly unrelated bivariate probit for endogeneity. These predictor variables may or may not be the same for the two outcomes. That is a regression in which two or more unrelated outcome variables are predicted by sets of predictor variables. Since stata 11, margins is the preferred command to compute marginal effects. An efficient method of estimating seemingly unrelated. The stata command sureg runs a seemingly unrelated regression sur. This paper describes how to specify, estimate, and test multipleequation, fixedeffect, paneldata equations in stata. Application of seemingly unrelated regression in medical. This article considers the seemingly unrelated regression sur model first analysed by zellner 1962.
Seemingly unrelated regressions we begin our discussion of systems of equations with a system that is not simultaneous in nature. Hello i am trying to use seemingly unrelated regressions sur technique in a 2level model which is presented below. I suppose that you can use the variancecovariance matrix of the fixed effects regression coefficients to draw. However, esttab and estout also support statas old mfx command for. The stata command to do seemingly unrelated regression is sureg. Powell department of economics university of california, berkeley overview like zellners seemingly unrelated regression models, the dependent and explanatory variables for panel data models or pooled cross section and time series models are typically denoted using two or. At first look, the equations seem unrelated, but the equations are related through the. Seemingly unrelated regression sur in unbalanced panel data set. An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias arnold zbllner university of wisconsin in this paper a method of estimating the parameters of a set of re. Zellners seemingly unrelated regressions model james l. To get a background of what i am trying to do, i have 10 panels of 25 weeks of data with four independent variables and one dependent variable and i am trying to find how these four independent variables effect the dependent variable.
Estimation and testing of fixedeffect paneldata systems. A discussion of these commands was published in the stata technical bulletin volume 42. We may be interested in comparing the effect of female on read, controlling for. By specifying the system of equations as seemingly unrelated regressions, stata paneldata procedures worked seamlessly for estimation and testing of individual variable coefficients, but additional routines using test were needed for testing of individual equations and. How to calculate nonlinear seemingly unrelated regression nsur. Is there a test for how appropriate a seemingly unrelated regression sur is in the presence of possible endogeneity. Zellner a 1962 an efficient method of estimating seemingly unrelated regression equations and tests for aggregation bias. Dear statlist i am estimating a system of dynamic equations in a panel data set such that. Like ols, the sur method assumes that all the regressors are independent variables, but sur uses the correlations among the errors in different equations to improve the regression. Fitting a seemingly unrelated regression sureg manually. However, if i have more equations that number of observations in each equations.
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