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st: re: SUR with endogenous regressors
From
Christopher Baum <[email protected]>
To
<[email protected]>
Subject
st: re: SUR with endogenous regressors
Date
Wed, 4 Aug 2010 20:32:35 -0400
<>
I'm wondering whether someone can help me (give me some hints) about
whether there is a Stata command to estimate a seemingly unrelated
regression (SUR) with endogenous covariates
Strictly speaking, no, because there is no such thing. SUR equations must be proper OLS regressions in which there
are no endogenous variables as regressors.
What you are describing is, essentially, three-stage least squares, and you can do that with -reg3-. However both -sureg- and -reg3- are rather antiquated implementations of these methodologies, as unlike almost every other regression-like estimation command, they lack a -vce- option (or the ability to employ -robust- or -cluster-, etc.)
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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