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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SURE vs SEM: which one to use?

in my understanding, SEM should be applied in a case such as: \begin{equation} Y= \alpha_1 + \beta_1 X + \epsilon \end{equation} \begin{equation} X= \alpha_2 + \beta_2 Y + \epsilon \end{equation} as $...
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Assessing performance of entire nonlinear SUR in R?

I understand the McElroy's R-squared is used to assess the entire SUR system in Hamann & Henningsen's systemfit package in R. However, I've been running SURs ...
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How would you run a SUR with nonlinear constraints?

Chiappari et al (2012) estimate two Seemingly Unrelated Regressions like this: $$ y_1 = a_1 + b_{11}x_1 + b_{12}x_2 $$ $$ y_2 = a_2 + b_{21}x_1 + b_{22}x_2 $$ Next, they want to test the hypothesis ...
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Deriving marginal effects for a bivariate model: ordered probit + linear regression

I am having trouble obtaining marginal effects of the following model in Stata, so that I would love to have some help in how to obtain an expression by hand: I have a system with two equations: an ...
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Multivariate Multiple Regressions

I have 24 multiple regression equations (24 dependent series and 24 independent series) and want the coefficients to be equal. How do I combine them? I allow for correlation of errors and tried SUR, ...
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T-test across two regressions (seemingly unrelated)

I want to compare across two regressions if the coefficients are equivalent using a t-test, how could I approach this and is there a function in R, which does this for seemingly unrelated regressions? ...
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Questions about Seemingly Unrelated Regression when all covariates are the same, but Y is different

Assuming I was estimating the same regression model, but had two dependent variables. Say one is income for women, and one is income for men. I want to understand if I understand the reason for using ...
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VAR($p$) estimation

I am bit stumped by this result. Source: Remark on page 46 of Multivariate Time Series Analysis by Rsay. ... one can obtain the GLS estimate of a VAR($p$) model equation by equation. That is, one can ...
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What is the difference between SUR and OLS?

How is the output different in the SUR (Seemingly Unrelated Regressions) equation from the OLS? Is it still the same as Bo + B1x = y?
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Testing if coefficients are statistically significantly different across models

I will be building two zero-inflated negative binomial (ZINB) regression models, where each model is aiming to predict different disease count outcomes based on the exact same independent variables ...
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Is there any benefit of using GLS when the regressors are identical

I am reading Greene, Econometric Analysis, 7th Addition, I am seeking a point of clarrification. "The case of identical regressors is quite common [think a VAR mode].... In this special case, ...
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Find (or calculate) log-likelihood value, AIC, and BIC for SUR model (for each equation) with systemfit

I have estimated SUR model with systemfit (R package). With the estimated results, I am trying to get logLik, AIC and BIC for ...
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SUR and interaction terms

Suppose I want to determine if a simultaneous model (A) was identified: $y_1 = \beta_{10} + \beta_{11} x_1 + \beta_{12} y_2 + \epsilon_1$ $y_2 = \beta_{20} + \beta_{21} y_1 + \beta_{22} x_2 + \...
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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: ...
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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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CAPM Model - SUR Model -

We know that the CAPM regression (for a asset i) is given by $\ z_i = α_i1_T +$ $\beta_iz_m + ε_i = X∗θ_i + ε_i$ How can I show that the estimator of $\hat\alpha$ has the following distribution $\...
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Why are individual fixed effects from a "within" and from a dummy variable panel model different?

I am working on a long panel data set with N=34 and T=132. I need to extract fixed effects from plm (within) model and estimation of the same model but including dummies for individuals (N-1) in OLS. ...
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Multiple impute multilevel data and postestimation tests

I want to do the following three things but am not sure how/whether they can be done: multiple impute multilevel data. I would be ok with just accounting for clusters, but I need to somehow account ...
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Significant effect of control variable on the concerned determinant

I have a regression where I find the effect of x on y while controlling for z: y = x + z Theoretically, Both x and z have an effect on y. z has an effect on x. ...
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Books on Bayesian seemingly unrelated regression

I want to study seemingly unrelated regression using Gibbs sampling for many equations. Can someone suggest some books on Bayesian approach for seemingly unrelated regression (SUR) with R examples. I ...
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A model similar to vector autoregressive (VAR) model with different explanatory variables

VAR models do not allow the flexibility of having different explanatory variables in each equation. Are there any alternative models which allow this flexibility and written in a VAR form?
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Why the inverse of the covariance matrix is equal to the original covariance matrix in Seemingly Unrelated Regression?

In Zellner 1962 p350-351, you may see (2.4) & (2.6), and you can also verify that the Sigma(c)=Sigma(c)^-1. Why the inverse of the covariance matrix is equal to the original covariance matrix in ...
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How to perform a SUR with Panel Data?

To do a sureg in Stata I was thinking of reg healthy x1 x2 ... i.year i.country ...
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Difference between SUTSE (Seemingly Unrelated Time Series Equations) and SUR (Seemingly Unrelated Regressions)

I am studying time-series econometrics and in particular Dynamic Linear Models for multivariate time-series. Someone can help me in understanding which is the difference between SUTSE (Seemingly ...
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Test on SUR model

I have a SUR model with 22 equations, where each equation has the same 7 factors. I want to test if a coefficient (b3 in equation 1) is significantly different from another coefficient in another ...
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Seemingly Unrelated Regression with the same dependent variables

I am analyzing the effect of foreign aid on governance. Foreign aid consists of six categories and I want to know each effect. Governance is measured by one indicator. I made six regression equations ...
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Forecasting ar(p) for several counties

I have a data set of prices, these prices vary across time and across area. I have 18 areas with 32 time periods. What i want to do is forecast these prices, i have found that a AR(3) process fits ...
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Difference between SUR and Simultaneous Equation Model

Seemingly Unrelated Regression (SUR), and Simultaneous Equation Model (SEM) sound very similar to me. What is the difference between them?
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SUR estimation and Heckman selection model with panel data on Stata?

I'm working with unbalanced panel data using time and firms as IDs and would like to find out how to test for correlation between two panel equations that may be seemingly unrelated. The second ...
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2 votes
1 answer
774 views

Goodness of fit of a SUR model

I know that McElroy R^2 is a measure of goodness of fit for Seemingly Unrelated Regressions (SUR models), but how can one judge that the estimated equations are well fit by using the McElroy R^2?
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Normalization and hypothesis testing under system equations

Hypothesis testing under single equation linear regression is robust to simple data normalization (for example dividing all variables by their respective mean). I see that the same is true for systems ...
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Computing BIC for SUR model

Consider the following m regression equation system: $$r^i = X^i \beta^i + \epsilon^i \;\;\; \text{for} \;i=1,2,3,..,T$$ where $r^i$ is a $(T\times 1)$ vector of the T observations of the dependent ...
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The bias of Zellner estimators in dynamic SUR models

I have been playing around with a seemingly unrelated regression (SUR) estimation. However, for dynamic SUR models it is known that -- analogous to the ARIMA case -- an OLS/GLS estimate is biased. For ...
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