Good afternoon,

When I estimate linear seemingly unrelated regression through the nlsur, I expect to obtain the same results as from the linear estimator sureg. I do not.

Am I doing something silly below? Is there something that I do not know about nonlinear estimators? Or is this just a bug in nlsur?

This below compares the two step GLS estimator (it is the default both in sureg and nlsur). As an additional problem nlsur is not able to estimate the constant in the first equation for some reason:

Code:
. sysuse auto, clear
(1978 Automobile Data)

. sureg (price mpg) (mpg headroom weight), noheader

------------------------------------------------------------------------------
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
price        |
         mpg |  -301.1139   51.81057    -5.81   0.000    -402.6607    -199.567
       _cons |   12578.17   1143.702    11.00   0.000     10336.55    14819.78
-------------+----------------------------------------------------------------
mpg          |
    headroom |    .017401   .5200071     0.03   0.973    -1.001794    1.036596
      weight |  -.0060914   .0005741   -10.61   0.000    -.0072165   -.0049662
       _cons |   39.63788   1.736718    22.82   0.000     36.23398    43.04179
------------------------------------------------------------------------------

. gen ones = 1

. nlsur (price={xp: mpg ones}) (mpg= {xm: head weight ones}), nolog
(obs = 74)
Calculating NLS estimates...
Calculating FGNLS estimates...

FGNLS regression 
-----------------------------------------------------------------------
       Equation |        Obs   Parms       RMSE      R-sq     Constant
----------------+------------------------------------------------------
 1        price |         74       2    2589.69    0.2185      xp_ones
 2          mpg |         74       3   3.395617    0.6508      xm_ones
-----------------------------------------------------------------------

------------------------------------------------------------------------------
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
     /xp_mpg |  -243.1912   13.61545   -17.86   0.000     -269.877   -216.5054
    /xp_ones |   11253.06          .        .       .            .           .
/xm_headroom |   .0135846   .5199967     0.03   0.979     -1.00559    1.032759
  /xm_weight |  -.0061984   .0005666   -10.94   0.000    -.0073089   -.0050879
    /xm_ones |   39.94374   1.716544    23.27   0.000     36.57938    43.30811
------------------------------------------------------------------------------
This below compares the Iterated GLS estimator. Again nlsur is not able to estimate the constant in the first equation, and gives vastly different results:

Code:
. sureg (price mpg) (mpg headroom weight), noheader isure nolog

------------------------------------------------------------------------------
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
price        |
         mpg |  -342.9266   52.21795    -6.57   0.000    -445.2719   -240.5813
       _cons |   13468.67   1154.169    11.67   0.000     11206.54    15730.79
-------------+----------------------------------------------------------------
mpg          |
    headroom |   .1479744   .4967846     0.30   0.766    -.8257055    1.121654
      weight |  -.0060785   .0005611   -10.83   0.000    -.0071784   -.0049787
       _cons |   39.20827   1.704458    23.00   0.000     35.86759    42.54895
------------------------------------------------------------------------------

. nlsur (price={xp: mpg ones}) (mpg= {xm: head weight ones}), nolog ifgnls
(obs = 74)
Calculating NLS estimates...
Calculating FGNLS estimates...
FGNLS iteration 2...
FGNLS iteration 3...
FGNLS iteration 4...
FGNLS iteration 5...
FGNLS iteration 6...

FGNLS regression 
-----------------------------------------------------------------------
       Equation |        Obs   Parms       RMSE      R-sq     Constant
----------------+------------------------------------------------------
 1        price |         74       2   2590.085    0.2183      xp_ones
 2          mpg |         74       3   3.397167    0.6505      xm_ones
-----------------------------------------------------------------------

------------------------------------------------------------------------------
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
     /xp_mpg |  -243.6554    13.6244   -17.88   0.000    -270.3587    -216.952
    /xp_ones |   11253.06          .        .       .            .           .
/xm_headroom |   .0370456   .5178872     0.07   0.943    -.9779947    1.052086
  /xm_weight |  -.0062289   .0005644   -11.04   0.000    -.0073351   -.0051226
    /xm_ones |   39.95913   1.711512    23.35   0.000     36.60463    43.31363
------------------------------------------------------------------------------