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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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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10 views

Systemfit — coefficients are restricted to be equal for all individuals

I want to estimate a seemingly unrelated regression (SUR) in R with the systemfit package. I have panel data with 8 brands in a category, and very many independent variables. Each brand is an equation....
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33 views

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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25 views

seemingly unrelated regression with random effects?

There are a lot of examples on the internet about Seemingly Unrelated Regression (SUR) and Random Effects (RE). However, I could not find an example that combines both these methods. My question is: I ...
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15 views

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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74 views

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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25 views

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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84 views

Wald test / seemingly unrelated regression on models with clustered standard errors in R

I am trying to conduct a Wald test (aka seemingly unrelated regression) on multivariate models with clustered standard errors in R. This is easy to do in Stata, but I cannot figure out how to do it in ...
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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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23 views

Estimating VAR using OLS vs. SUR in R

According to Enders (2014), p. 303 as long as there are identical regressors in each equation in the VAR, OLS estimates are consistent and asymptotically efficient. However, I imposed restrictions in ...
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33 views

How to simulate coefficients from a multivariate distribution and the variance matrix from a inverse Wishart distribution?

I have estimated a Seemingly Unrelated Regression (SUR) and I would like to simulate the coefficients using the posterior distribution. When researching how to do that, I have read that you should not ...
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SUR with cross-equation restrictions derivation of the equation?

How to derive this equation? It is not homework, but I want to understand the process behind it and how the restricted estimator follows from that equation in the third bullet.
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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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47 views

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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1k views

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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106 views

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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222 views

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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116 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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101 views

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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193 views

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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190 views

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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101 views

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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338 views

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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278 views

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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79 views

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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539 views

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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227 views

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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896 views

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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2k views

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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713 views

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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915 views

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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55 views

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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3k views

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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712 views

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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170 views

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 ...