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From the help desk: Seemingly unrelated regression with unbalanced equations

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Author Info

  • Allen McDowell

    (StataCorp LP)

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    Abstract

    This article demonstrates how to estimate the parameters of a system of seemingly unrelated regressions when the equations are unbalanced, i.e., when the equations have an unequal number of observations. With estimators that require the data to be in wide format, such as Stata's sureg, the equations must be balanced. Any additional observations that are available for some equations, but not for all, are discarded, potentially resulting in a loss of efficiency. Reshaping and scaling the data allows us to use Stata's xtgee command to fit the model and obtain estimates utilizing all the available data. The resulting estimator is potentially more efficient when the equations are unbalanced. Copyright 2004 by StataCorp LP.

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    File URL: http://www.stata-journal.com/sjpdf.html?articlenum=st0079
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    Bibliographic Info

    Article provided by StataCorp LP in its journal Stata Journal.

    Volume (Year): 4 (2004)
    Issue (Month): 4 (December)
    Pages: 442-448
    Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
    Handle: RePEc:tsj:stataj:v:4:y:2004:i:4:p:442-448

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    For corrections or technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

    Related research

    Keywords: SUR; seemingly unrelated regression; unbalanced equations; generalized estimating equations;

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