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st: re: SUR and autocorrelation
From
Christopher Baum <[email protected]>
To
<[email protected]>
Subject
st: re: SUR and autocorrelation
Date
Thu, 23 Sep 2010 11:12:53 -0400
<>
Anyone know how to correct for autocorrelation in SUR models?. I
performed Durbin Watson test and found that in 3 equations (4
equations total) , the disturbances are positively autocorrelated.
There is no good reason why the robust and Newey-West (HAC) covariance matrix estimators are not available in -sureg, as it is just glorified OLS regression-. You could compute bootstrap standard errors, as -sureg- allows the -bootstrap- prefix.
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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