Re: st: SUR and unbalanced panel data

[Conny Chen <ckarnes@emory.edu>]

Hi Kit,
Thanks again for your response. I've run into a bit of trouble with the 
scaling part. I have two groups, with 48 and 19 observations 
respectively, and both have 18 independent variables. Perhaps I'm not 
understanding this correctly, but when I stack the X matrices, I end up 
with a 67x36 ((48+19)*(18+18)) matrix.I'm not sure how to scale this 
with the covariance matrix. Do I calculate the feasible GLS estimator as
b={X'(omega^-1)X}^-1*{X'(omega^-1)y}?

I keep running into conformability errors since (omega^-1) ends up being 
a 96x96 matrix.
Is there another way to calculate this? Thanks so much for your help.

Conny

statalist-digest wrote:

> ------------------------------
>
> Date: Thu, 18 Oct 2007 06:59:55 -0400
> From: Kit Baum <baum@bc.edu>
> Subject: st: Re: SUR and unbalanced panel data
>
> 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?
> >     
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