Re: st: RE: FGLS vs. OLS

[Jordan Silberman <silberman.stata@gmail.com>]

This makes sense. But my question is--if sureg uses FGLS, and if FGLS
yields coefficient estimates that differ from those of OLS, then why
do the sureg and regress commands (which should be using FGLS and OLS,
respectively) yield the exact same regression coefficients? Is sureg
perhaps not really using FGLS?

On Tue, Jul 16, 2013 at 1:57 PM, Lucas <lucaselastic@gmail.com> wrote:
> It is my understanding that Seemingly Unrelated Regression gives the
> same results as one-by-one OLS estimation unless one has different X's
> in the equations.  Even if the X's are the same in all equations, SUR
> can still be useful because SUR allows appropriate tests of
> coefficients across equations (because SUR allows coefficients to have
> non-zero covariances, which are needed to appropriately test them
> across equations).
>
> Sam
>
> On Tue, Jul 16, 2013 at 9:31 AM, Jordan Silberman
> <silberman.stata@gmail.com> wrote:
>> Thanks Dr. Reed. Stata documentation states that the sureg (seemingly
>> unrelated regression) command uses FGLS. Therefore, it seems to me
>> that one should be able to use FGLS to estimate a simple model in
>> which x predicts y with the following command:
>>
>> sureg (y x)
>>
>> If sureg uses FGLS, and if the FGLS coefficients are different from
>> those of OLS, then you'd expect the command above to yield
>> coefficients that differ from those of a simple OLS regression.
>> However, when I use a command like "regress y x" to estimate the same
>> model with OLS, I get the exact same coefficients (standard errors/p
>> values differ). Why am I getting identical coefficients here, if the 2
>> commands use 2 different estimators that should yield different
>> coefficients?
>>
>> Thanks,
>> Jordan
>>
>> On Tue, Jul 16, 2013 at 12:03 PM, Bob Reed <bob.reed@canterbury.ac.nz> wrote:
>>> Hi Jordan,
>>>
>>> OLS and GLS estimators will produce different estimates.  The formulae are different, as you can check by referring to most econometrics textbooks.
>>>
>>> W. Robert Reed
>>> Professor
>>> Department of Economics and Finance
>>> University of Canterbury
>>> Private Bag 4800
>>> Christchurch
>>> New Zealand
>>> Phone: +64-3-3642846
>>> Fax: +64-3-3642635
>>> Email: bobreednz@yahoo.com
>>> Homepage: http://www.econ.canterbury.ac.nz/personal_pages/bob_reed/
>>>
>>> Replications Co-Editor, Public Finance Review
>>> http://www.sagepub.com/journalsProdEditBoards.nav?prodId=Journal200768
>>>
>>> Editor, ISRN Economics
>>> http://www.isrn.com/journals/economics/editors/
>>>
>>> ________________________________________
>>> From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] on behalf of Jordan Silberman [silberman.stata@gmail.com]
>>> Sent: Wednesday, 17 July 2013 3:50 a.m.
>>> To: statalist@hsphsun2.harvard.edu
>>> Subject: st: FGLS vs. OLS
>>>
>>> Can anyone tell me if it's correct that coefficients computed from an
>>> OLS regression should be equal to those computed from feasible
>>> generalized least squares (FGLS) estimation, while standard errors and
>>> p values should differ across the 2 methods? I'm interested in
>>> comparing a single linear model across the 2 methods, so there's no
>>> "seemingly unrelated regression." Thanks, Jordan
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