Thanks to Kit Baum, a new package is available from SSC: -xtsur-.
-xtsur- One-way random effect estimation of seemingly-unrelated regressions
(SUR) in unbalanced panel data set.
-xtsur- fits a many-equation seemingly-unrelated regression (SUR) model of
the y1 variable on the x1 variables and the y2 variable on the x1 or x2
variables and etc..., using random effect (RE) estimators in the context of
unbalanced panel data. The approach for this command is based on
constructing a stepwise algorithm using Generalized Least Squares (GLS) and
the Maximum� Likelihood (ML) procedures. The method is originally developed
by Erik Biorn (Journal of Econometrics, 2004).
To install type within Stata: -ssc install xtsur-
--
Minh Nguyen
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