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Re: st: Questions about xtsur, heteroskedasticity, and auto-correlation
From
Tirthankar Chakravarty <[email protected]>
To
[email protected]
Subject
Re: st: Questions about xtsur, heteroskedasticity, and auto-correlation
Date
Wed, 6 Jun 2012 15:17:49 -0700
The one-way random effects model for unbalanced panels in Biorn (2004;
full reference in the helpfile for -xtsur- (SSC)) which is what
-xtsur- estimates does not account for serial correlation over time,
nor arbitrary individual specific heteroskedasticity other than that
arising from the vector of random effects.
See the discussion in Biorn (2004) on page 283 after equation (1).
Best,
T
On Wed, Jun 6, 2012 at 2:01 PM, Xia Zhao <[email protected]> wrote:
> 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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> * http://www.stata.com/help.cgi?search
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--
Tirthankar Chakravarty
[email protected]
[email protected]
*
* For searches and help try:
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* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/