On Mar 13, 2004, at 2:33 AM, Dimitris wrote:
I have a panel of firms with yearly data on a number of (log)
variables.
Assume there are 5 variables. Without firm effects, I can use -sureg-
to
detrend all variables by a single constrained growth rate as follows:
gen t1 = time
gen t2 = time
gen t3 = time
gen t4 = time
gen t5 = time
constraint define 1 t2=t1
constraint define 2 t3=t2
constraint define 3 t4=t3
constraint define 4 t5=t4
sureg (X1: lnx1 t1) (X2: lnx2 t2) (X3: lnx3 t3) (X4: lnx4 t4) (X5: lnx5
t5), constraint (1 2 3 4)
The model detrends each variable using the constrained slope across
the 5
variables and allows the intercepts (i.e. estimated initial values) to
vary. The fitted values for any variable (e.g. lnx1), which vary with
time
but not with firm, are given by:
predict fvx1, equation(X1) xb
To introduce firm effects in -sureg- I may use -by firm- . The SURs
then
run successively for a large number of firms.
Using this approach, how do I
(i) obtain a coparable table of parameter estimates for all the
estimated
- -by firm, sureg-
(ii) extract a vector of fitted values for each of the variables?
ALso, I want to run this as a single model, in order to then compare
with
other models, including -xtreg-, -xtregar- and -xtabond-.
To set the data up as panel data, we use the commands
gen year = time + <base year>
tsset firm year, yearly
Therefore, how can I run the SUR model with panel data?
SURE (sureg) is an estimator for use with panel data in the "wide"
format--e.g. firms' data in adjacent variables. It always is applied to
panel data. If you want to use an estimator in the "long" format, such
as xtreg, you must reshape long. A fixed-effects model (xtreg, fe) will
estimate the same regression across units of the panel, with intercepts
firm-specific; the only difference between that and the
slope-constrained SURE is that the latter allows for \sigma^2 to vary
across firms, which xtreg,fe does not.
Kit
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