# Questions tagged [seemingly-unrelated-regressions]

SUR stands for "Seemingly Unrelated Regressions", an econometric technique for fitting several models (w/ different response variables) simultaneously. SUR may be more efficient than fitting the models separately.

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### SUR regression (which fails for too big in R) has identical variables, so is mostly multiple OLS; does error term effects matter?

I originally posted this to stackoverflow, and was advised by I_O that the question would be appreciated more here. I am not sure how to reformat this to be appropriate here, so I am copying it over ...
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### Compute the standard error of the difference of two coefficients from two different regressions

I am estimating two different regression discontinuity models on the same data but using two different cross-sections. I need to subtract one RD estimates from the other in order to obtain a ...
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### Appropriate term for "seemingly unrelated regression with shared parameters"?

I have paired values for three variables $z$, $y$, and $t$, and I wish the perform the regressions $z = g(t)$ and $y = f(t)$. I happen to know there is a bias in the variable $t$, thus the true times ...
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### Is the effectiveness of seemingly unrelated regression an example of Stein's paradox?

The existence of Stein's Example prima facie appears similar to seemingly unrelated regression (SUR) insofar as simultaneously estimating multiple parameters seems more effective than training them ...
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### Can I use an SUR for accounting for variation across countries

I am using stata to calculate my simple model. Model: AR = alpha + beta1 * event + error Where ...
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### Forbidden Regression Problem?

I am quite confused about the forbidden regression problem, and unsure if I have one in this case. Stage 1: Probit Model: Prob(Distress) = Set of regressors that predict vulnerability. The predicted ...
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### SUR Estimation for unbalanced equations using systemfit package

I have several ARDL models and they are well specified. But, there are correlations among residuals of equations. So I need to estimate a SUR system of these models. But, I cannot solve the SUR system ...
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### Comparing OLS regression coefficients with SUR in SAS

I have the following code in Stata that I'm looking for the equivalent in SAS. Stata code: ...
140 views

### Simultaneous estimation of a group of linear model (regression) parameters

Suppose $y=ax+z$ where $x, y, z$ are random variables with range in $\mathbf R$, $\mathbf E[x]=\mathbf E[z|x]=0$ and $a$ is a constant. Note the distribution of $z$ conditioned on $x$ depends on $x$. ...
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### What is the difference between seemingly unrelated regression (SUR) and correcting a set of OLS results for multiple comparisons?

As I understand it, the the seemingly unrelated regressions (SUR) or seemingly unrelated regression equations (SURE) models estimate a set of Ordinary Least Squares (OLS) equations where the error ...
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### How to compare coefficients of multivariate multiple regression models, possibly using SUR

I am trying to compare the model parameters among three multivariate multiple regressions. All three models incorporate date from the same 97 individuals and share the same 4 independent variables (...
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### Solving SUR with (N-1) Equations

Problem I'm estimating a seemingly unrelated regression (SUR) with identical regressors where my dependent variable, $y_{cit}$, is a share of total across $c$, such that, $\sum_{c=1}^5 y_{cit}$ = 1. ...
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### SEM One regressor depends on another regressor

I have the following structural model, by which one of the regressors is partially explained by another. $$y_1= x_1+x_2+x_3+e \tag{1}$$ $$x_1= x_2 + u \tag{2}$$ The questions are: a) Can ...
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### Are multivariate probit models with the same set of explanatory variables for each outcome more efficient that piecewise probit regressions?

I understand that multivariate probit models are analogous to SUR models. In the SUR case, there's no efficiency gain by fitting a SUR model over several independent OLS regressions when the model ...
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### SUR with unbalanced panel and cross equation restrictions - available software?

I would like to estimate a SUR model with an unbalanced panel and with cross equation restrictions. This does not seem possible with the standard SUR commands in Stata or R. Do you have an idea which ...
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### testing hypothesis in spatial sure models

I have estimated spatial sur models (lag and error) using the spse program, spseml function. I want to test some restrictions about the coefficients in this model and I have not been able to do it ...
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