To do a
sureg in Stata I was thinking of
reg healthy x1 x2 ... i.year i.country
reg pensions x1 x2 i.year i.country
- Verify if both regressions are "ok" = verify errors, variables' significance , etc.
- If everything is okay with both regressions, I will do the
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.