st: question about sureg

[Kit Baum <baum@bc.edu>]

sacrificial emu

Nuno said

I would like to run the following system of unrelated equations using
-sureg-, but I don't know if the command is able to do this:

y1=a0+a1*x1+a2*x2+u
y2=b(y1-a0-a1s*x1-a2s*x2)+v

Does anyone have an idea of how to set the -sureg- command in order to
estimate this system of equations?

No, because is not a system of SURs, in which each regressor is  
exogenous. It is a simultaneous system, in fact a recursive  
simultaneous system, but without additional identifying restrictions  
you cannot estimate it as such. The first equation can be estimated  
with OLS (assuming that x1, x2 are appropriately exogenous w.r.t. u)  
but for the second equation, you need to use an instrumental  
variables estimator, and all of the exogenous variables in this  
system are already in the equation as regressors. Thus without some  
additional instruments you're out of luck.


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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