Dear Stata list,
maybe this a very basic question. I`m trying to estimate a model using
SUR, this technique is new for me. My problem is that command sureg
maybe is not taking into account posible heteroskedasticity. Then I
have tried suest after regress (someone told me that with this command
is possible to run a sur under heterosk on each equation). I notice
that the standard errors have change and are very similar to my
independent equations regression once adjusted using robust option.
However, i dont know if this command is really doing a sur regression
allowing for correlations among unobservables. I have read some
applications that say that is the "correct" way to run that kind of
regression (sur model corrected by white). However in other
applications i have read that this command is not properly a sur
regression. A previous post I have read the following
"Just to add a bit to Maarten's suggestion: -suest- will let you
combine two or more "seemingly unrelated" equations so that you can
test cross-equation restrictions and the like. But it won't do
"seemingly-unrelated estimation" a la Zellner and -sureg-, i.e., you
won't get the efficiency gains possible from estimating the equations
as a system. The coefficients reported by -suest- are just the original
ones"
So, my doubt now is bigger. I only want to obtain the correct variance
covariance matrix in order to test corss equation hypothesis under to
kind of models. The first one uses the same covariates for all the
equations and the second one different covariates. Both are OLS-type.
hope someone can answear me more and if you need more information I
can explain the details of my model.
Thanks a lot
Alvaro
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