Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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?

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index