Hello, suppose I have two regression using panel data random effect and cluster the error term
Model1: reg y1 x1 x2 x3, vce (cluster id) re
Model2: reg y2 x1 x2 x3, vce (cluster id) re
To run the seemingly unrelated regression, I simply run the code:
SUREG (y1 x1 x2 x3, vce (cluster id) re) (y2 x1 x2 x3, vce (cluster id) re)
Question 1:
Am I doing properly here? Because when I ran the models separately, some coefficients are not significant. But when I put them in the SUREG, they become very significant.
I thought usually SUREG will hurt the significance level, doesn't it? Why it becomes significant in the sureg?
Question 2:
How to compare the coefficients in SUREG? Shall I do something like:
test [y1]x1 = [y1]x2
Question 3:
How to see the number of groups (id) used in SUREG model?
Thank you
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