hi,
I have a set of equations that specify the relationship between a set
of independent variables and outcome variables - survival, stockmarket
and accounting performance. I have two questions that I would
appreciate your help with.
1) The data is at the firm level. Some of the firms belong to
clusters of firms, and hence I expect autocorrelation in the residuals
when I run each equation separately. Therefore, I plan to use the the
Prais-Winston command, specifying the Cochran-Orcutt option in stata
to correct for autocorrelation when running each equation separately.
I think this approach is correct, however I am not a 100% sure, and
will appreciate it if you think otherwise and can correct me.
2) I also need to use a simultaneous unrelated regression (SUR) model
since it is possible that the set of equations are related (e.g.
survival might be related to performance). How do I correct for
autocorrelation for the SUR model in stata?
Any suggestions and advice will be much appreciated.
thanks
dalhia
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
