Good afternoon,

I have written a command to estimate robust variance post Seemingly Unrelated Regression.

Currently the program works like this:

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

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

------------------------------------------------------------------------------
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
price        |
    headroom |   389.6366   401.1807     0.97   0.331     -396.663    1175.936
       _cons |   4998.979   1247.577     4.01   0.000     2553.774    7444.185
-------------+----------------------------------------------------------------
mpg          |
      length |  -.0916353   .0539683    -1.70   0.090    -.1974113    .0141407
      weight |  -.0033167   .0015459    -2.15   0.032    -.0063467   -.0002868
       _cons |   48.53323   5.936823     8.17   0.000     36.89727    60.16919
------------------------------------------------------------------------------

. suregr2

Seemingly unrelated regression
--------------------------------------------------------------------------
Equation             Obs   Parms        RMSE    "R-sq"       chi2        P
--------------------------------------------------------------------------
price                 74       1    2910.242    0.0131       0.94   0.3314
mpg                   74       2     3.34875    0.6604     136.53   0.0000
--------------------------------------------------------------------------

------------------------------------------------------------------------------
             |               Robust
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
price        |
    headroom |   389.6366   295.9122     1.32   0.188    -190.3406    969.6139
       _cons |   4998.979   843.8949     5.92   0.000     3344.976    6652.983
-------------+----------------------------------------------------------------
mpg          |
      length |  -.0916353   .0682694    -1.34   0.180    -.2254408    .0421703
      weight |  -.0033167   .0019688    -1.68   0.092    -.0071756    .0005422
       _cons |   48.53323   7.544959     6.43   0.000     33.74538    63.32108
------------------------------------------------------------------------------

.
What -suregr2- does is to calculate robust standard errors post -sureg-.

How do you think is better, I keep it as it is now, or I make it as a prefix command, something like:

Code:
suregr2: sureg (price headroom) (mpg length weight), noheader
and then it gives you the robust variance?