Questions tagged [sur]

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

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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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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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22 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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Why use iterated SUR (ISUR) over regular (one-step) SUR?

Stata, a statistical package, offers the possibility to estimate a system of equations using Zellner’s seemingly unrelated regression (SUR) in either one-step or using an iterated SUR (ISUR) method ...
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23 views

Model selection criteria for Seemingly Unrelated Regressions - same as OLS?

If there are two SUR models, each containing two equations, and the only differences between them is the exclusion of a dummy variable in the second set (or say, the intercept term) what measures ...
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108 views

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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18 views

SUR and cross equation restrictions in SAS

I am estimating a system of three equations using the option SUR in syslin procedure. Code: ...
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44 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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948 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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101 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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208 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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231 views

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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90 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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61 views

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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175 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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26 views

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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96 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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333 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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265 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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75 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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527 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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204 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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89 views

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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831 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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666 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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883 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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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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696 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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162 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 ...