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Re: st: joint estimation of OLS and logit in seemingly unrelated regressions
From
Maarten Buis <[email protected]>
To
[email protected]
Subject
Re: st: joint estimation of OLS and logit in seemingly unrelated regressions
Date
Wed, 23 May 2012 16:00:24 +0200
On Wed, May 23, 2012 at 3:49 PM, #WANG ZITIAN# wrote:
> However, I find that using suest command with clustering generates almost the same standard errors comparing estimating each individual regression with clustering option. Could you explain why it is the case?
-suest- does not explicitly model any correlation between the models'
error terms, it circumvents that problem by using a variance
covariance matrix of the sandwich/robust type. So I am not surprised
by what you find.
-- Maarten
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://www.maartenbuis.nl
--------------------------
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