st: Re: SUR and unbalanced panel data

[Kit Baum <baum@bc.edu>]

A SUR on unbalanced panels can be done, but not in Stata without some  
programming. -sureg- does not have an option to handle that case.  
Essentially you just need to run the individual OLS regressions that  
are done in the first stage of SUR, save their residuals, and compute  
the matrix of _pairwise_ correlations rather than the standard  
correlation matrix that is generated by -sureg- as e(Sigma). It would  
then take some programming (most easily done in Mata) to assemble the  
appropriate X matrices and y vectors and compute the SUR estimator.  
Each of the GLS terms can be written as the sum of the diagonal  
chunks of the stacked X matrix, crossed with either the same X or  
with the appropriate piece of y, scaled by the appropriate pairwise  
correlation (more properly, covariance from your new e(Sigma)  
matrix). The textbook SUR treatment considers that each X matrix has  
T rows but perhaps a different number of columns; this just says that  
each X matrix may have T_g rows, where that value differs across  
equations. Relative to the -sureg- implementation, allowing for  
unbalanced panels is just a matter of housekeeping.

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


On Oct 18, 2007, at 2:33 AM, statalist-digest wrote:


> Hi there. I am trying to run a SUR and have an unbalanced panel data
> set. I've been referring to Baum's Introduction to Modern Econometrics
> and it states that the model could be fitted with an unbalanced panel.
> I've tried using the SUREG command, but it defaults to using the least
> number of observations on all of the groups. I'd like to be able to
> exploit the extra observations I have for one of the groups. Does  
> anyone
> know how to do this?
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/