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To do a sureg in Stata I was thinking of

  1. reg healthy x1 x2 ... i.year i.country
  2. reg pensions x1 x2 i.year i.country
  3. Verify if both regressions are "ok" = verify errors, variables' significance , etc.
  4. If everything is okay with both regressions, I will do the sureg command (SUR).

Am I wrong? Or should I do directly the sureg regression, and verify through that regression the coefficients' significance?

Resume of the question : do I have to do two 2-way-fixed effects model first (for 2 dependent variables), verify everything as if they were going to be always independent, and finally estimate the SUR?

I also posted this question on Statalist.

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    $\begingroup$ There's a statistical question embedded here, but I think in presupposing that readers recognise and understand Stata syntax the question is rendered off-topic. If you can rewrite the question without presupposing that, it would be a better fit here. $\endgroup$ – Nick Cox Jun 10 '16 at 11:26
  • $\begingroup$ You should give explicit cross-references to other posts, not presume that people will search for them. The allusion is to statalist.org/forums/forum/general-stata-discussion/general/… #15 $\endgroup$ – Nick Cox Jun 10 '16 at 11:47

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