st: Help with sureg

[Thomas Jacobs <thomasjacobs@gmail.com>]

I am trying to use sureg on a dataset of approximately 50 firms with
900 trading days of observations:

. xtset
       panel variable:  CompanyNum (strongly balanced)
        time variable:  TradeDateNum, 501 to 1402
                delta:  1 unit

I keep only the necessary variables:

. keep TradeDateNum CompanyNum LnRt*

and reshape from long to wide for the company specific variables:

. reshape wide LnRtFiveYrMid LnRtStock, i(TradeDateNum) j(CompanyNum)
(note: j = 1 2 3 4 5 6 8 9 10 11 12 13 14 15 16 17 18 19 20 22 23 24
25 26 27 28 29 30 32 33
>  34 35 36 37 38 39 40 41 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57)

Data                               long   ->   wide
-----------------------------------------------------------------------------
Number of obs.                    47806   ->     902
Number of variables                  10   ->     113
j variable (53 values)       CompanyNum   ->   (dropped)
xij variables:
                          LnRtFiveYrMid   ->   LnRtFiveYrMid1
LnRtFiveYrMid2 ... LnRtFiveYrM
> id57
                              LnRtStock   ->   LnRtStock1 LnRtStock2
... LnRtStock57
-----------------------------------------------------------------------------

I then attempt to execute sureg on my current pooled OLS specification
for just two firms:

. sureg (LnRtFiveYrMid1 L(1/2).LnRtFiveYrMid1 L(0/4).LnRtCDX LnRtCMT
LnRtTED L(0/2).LnRtStoc
> k1) (LnRtFiveYrMid2 L(1/2).LnRtFiveYrMid2 L(0/4).LnRtCDX LnRtCMT LnRtTED L(0/2).LnRtStock2
> )
variable CompanyNum not found

and I get the error CompanyNum (the dropped variable after reshaping
to wide) not found.  So far, the only way it will run is if I exclude
time series operators:

. sureg (LnRtFiveYrMid1 LnRtCDX LnRtCMT LnRtTED LnRtStock1)
(LnRtFiveYrMid2 LnRtCDX LnRtCMT
> LnRtTED LnRtStock2)

Seemingly unrelated regression
----------------------------------------------------------------------
Equation          Obs  Parms        RMSE    "R-sq"       chi2        P
----------------------------------------------------------------------
LnRtFiveY~d1      887      4    .0453147    0.1464     152.27   0.0000
LnRtFiveY~d2      887      4    .0479444    0.0777      74.68   0.0000
----------------------------------------------------------------------

------------------------------------------------------------------------------
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
LnRtFiveY~d1 |
     LnRtCDX |   .5369359    .054891     9.78   0.000     .4293515    .6445204
     LnRtCMT |  -.3181771   .0979303    -3.25   0.001    -.5101169   -.1262374
     LnRtTED |  -.0106727   .0188642    -0.57   0.572    -.0476459    .0263005
  LnRtStock1 |   .0629164   .1021791     0.62   0.538    -.1373509    .2631838
       _cons |  -.0006975   .0015239    -0.46   0.647    -.0036843    .0022893
-------------+----------------------------------------------------------------
LnRtFiveY~d2 |
     LnRtCDX |    .362548   .0568002     6.38   0.000     .2512216    .4738745
     LnRtCMT |  -.3034092   .1032472    -2.94   0.003    -.5057699   -.1010485
     LnRtTED |  -.0484131    .019944    -2.43   0.015    -.0875027   -.0093235
  LnRtStock2 |  -.0617068   .0777801    -0.79   0.428     -.214153    .0907394
       _cons |  -.0000496   .0016117    -0.03   0.975    -.0032085    .0031093
------------------------------------------------------------------------------

Does sureg prevent the use of time series operators?  If so, am I best
to manually generate all the lags before reshaping or after?  Any
other suggestions?  Thanks.

Tom
-- 
Thomas Jacobs

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