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Re: st: robust estimation SUREG
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Subject
Re: st: robust estimation SUREG
Date
Sat, 28 May 2011 15:27:09 +0200
Thanks a lot for your answer!! I have also tried to perform a SUREG by introducing
the three sets of weights generated by the rreg command but I realized that it was not
possible. As you mention I would have to combine them somehow. However it is for me
not clear how to combine them. An arithmetic average is definitely not appropriate. I was
wondering if it would not be more appropriate to proceed as described hereafter. In a first step,
on the basis of each robust regression performed, I determine outliers (i.e. observations under a
certain threshold in terms of weight height). In a second step I exclude these outliers from the data set
and then perform the SUR regression. I am however not really satisfied with this solution.
Pierrick Jan
__________________________________________________________________________
Date: Fri, 27 May 2011 12:47:38 -0400
From: =?ISO-8859-1?Q?Jorge_Eduardo_P=E9rez_P=E9rez?= <[email protected]>
Subject: Re: st: robust estimation SUREG
You could use the -genwt- option in -rreg- to generate the weights
used in the robust regression, then use those weights in -sureg-. You
will have three sets of weights from your first three regressions, and
- -sureg- will only allow a set of weights, so you would have to combine
them somehow.
_______________________
Jorge Eduardo Pérez Pérez
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