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Re: st: Comparing sureg with reg
From
Jorge Eduardo Pérez Pérez <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Comparing sureg with reg
Date
Wed, 1 Feb 2012 00:18:31 -0500
"The 45 independent variables are the same for all three equations."
When the independent variables are the same in all the equations,
equation by equation OLS (-reg-) and SUR (-sureg-) are equivalent.
_______________________
Jorge Eduardo Pérez Pérez
On Tue, Jan 31, 2012 at 6:09 AM, Schöler, Lisa
<[email protected]> wrote:
> Dear Statalist,
>
> I have three equations with three different dependent variables and 45 independent variables.
> I ran a SUR model with the command -sureg-. The 45 independent variables are the same for all three equations.
> The Breusch-Pagan test of independence shows that my dependent variables are not independent (p<.001).
> When I compare the coefficients that I receive from -sureg- and -reg-, they do not differ at all. Only the standard errors differ, but only slightly.
>
> Can anybody explain me what I am doing wrong here, I have no explanation why the coefficients do not differ at all? I know that this is the case when you only have dummy variables, but I have 30 dummy variables and 15 variables that are not dummies.
>
> Thanks
> Lisa
>
> Lisa Schöler
> Professur für BWL, insb. Electronic Commerce
> Goethe-Universität Frankfurt
> Grüneburgplatz 1
> 60629 Frankfurt a.M.
>
> Phone: ++49 69 798 34632
> Fax: ++49 69 798 35001
> Email: [email protected]
> URL: www.ecommerce.wiwi.uni-frankfurt.de
>
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