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st: Questions about xtsur, heteroskedasticity, and auto-correlation
From
Xia Zhao <[email protected]>
To
[email protected]
Subject
st: Questions about xtsur, heteroskedasticity, and auto-correlation
Date
Wed, 6 Jun 2012 17:01:21 -0400
Questions about xtsur, heteroskedasticity, and auto-correlation.
I want to run SUR on unbalanced panel data. I just installed xtsur on
my laptop.
My understanding is that xtsur uses GLS to estimate the coefficients.
So it can handle both heteroskedasticity and auto-correlation? Is it
right?
It seems that xtsur does not report R square. Do I have to calculate it myself?
Thanks!!
Olivia
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