Dear Statalist,
I am trying to estimate a regression with Panel data SUR method with the command xtsur, since I have more time periods than individuals. In summary, I have two equations:
xtsur (eq1: y1 x1 x2 x3 ...) (eq2: y2 x1 x2 x3 ...). I have obtained good statistical significance in the coefficients, but I would like to perform some robustness tests.
I would like to perform some postestimation tests with respect to the normality of the residuals, autocorrelation, homocedasticity, and so on. Hence, I tried to use the command: predict to estimate the residuals (predict ehat, residuals) (I also tried the following predict ehat1, residuals equation(eq1)... and the same for equation 2). Nonetheless, I have gotten the following message: "option residuals not allowed". Does anyone know how to do postestimation tests with xtsur?
Or more generally, how to do postestimation tests with the residuals after multiple-equation (ME) estimators?
Thanks.
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