XTSUR: Stata module to estimate seemingly unrelated regression model on unbalanced panel data

Minh Nguyen

Statistical Software Components from Boston College Department of Economics

Abstract: xtsur fits a many-equation seemingly-unrelated regression (SUR) model of the y1 variable on the x1 variables and the y2 variable on the x1 or x2 variables and etc..., using random effect estimators in the context of unbalanced panel data. The approach for this command is based on constructing a stepwise algorithm using Generalized Least Squares (GLS) and the Maximum Likelihood (ML) procedures. The method is originally developed by Erik Biorn (Journal of Econometrics, 2004).

Language: Stata
Requires: Stata version 10.0
Keywords: random effects; unbalanced panel; seemingly unrelated regression (search for similar items in EconPapers)
Date: 2008-08-14, Revised 2010-10-01
Note: This module should be installed from within Stata by typing "ssc install xtsur". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Citations: View citations in EconPapers (5)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtsur.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtsur.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtsur_example.dta sample data file (application/x-stata)

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