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st: SUREG with linear constraints
From
Eduardo Montoya <[email protected]>
To
[email protected]
Subject
st: SUREG with linear constraints
Date
Thu, 12 Apr 2012 16:22:40 -0700
Hello,
I'm using SUREG to estimate a seemingly unrelated regression. My problem is
that SUREG will not estimate a parameter that I'm pretty sure should be
identified.
I have 5 equations. Within each equation, (along with other explanatory
variables) I'm estimating the coefficient on one explanatory variable that
only varies monthly, plus a set of month-fixed effects. Each equation would
be collinear on its own, but I'm also restricting the month fixed effects to
be the same across all 5 equations. I'm pretty sure this should identify my
additional explanatory variable, but I think that sureg checks each equation
individually for collinearity and decides to omit this variable I need to
include.
I don't think there is a 'collinear' option for sureg. Is there some way to
run the sureg command that will include this variable?
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