st: Using SUR in an unblanaced panel data

["Abdalla, Ahmed" <ahmed.abdalla@kcl.ac.uk>]

Dear Statalist

I have a system of 5 equations and I want to test cross equations restrictions. As far as I understand, I have to use SUR if I seek efficiency and to be able to test the restrictions that involve more than  one equation. Stata has the code sureg that tests for SUR in a cross section. In order to test for cross equation restrictions using a panel data set, stata has the code xtsur that is based on an approach originally developed by Brion (2004) for one way random effect estimation of SUR in unbalanced panel set.

 My concerns are:
 1- If I doubt heteroscedasticity which is always the case using financial data, can I use any heteroscedasticity-robust standard errors in STATA and what is the command ?
 2- Can I cluster standard error by firm or time in stata ? Command?
3- xtsur deals with random effect estimation of SUR. What if I test the models using Hausman test and find that the fixed effect model is more appropriate, Can stata deal with this kinds of models using SUR in panel data?

Ahmed








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