I want to estimate a system of 4 equations, where the Y-Variables sum to one approximately, and so the error terms are correlated. The data set contains ~180 variables and ~1600 observations. I tried running sureg with i.variable in the specification to add in fixed effects. So there are three issues that I am facing:
1. The co-efficients with systemfit package in R and Stata are different. (They were the same when I ran felm() in R and reghdfe in Stata.) So, I am not able to understand which one is consistent.
2. I want to add one more factor variable, which is correlate with another X-variable.
3. I want to add clustered standard errors to sureg.
Could you please help me with these issues, or point me to some research papers which used SUR with fixed effects?
I am relatively new to data, so any help on this front would be very valuable to me.
I am happy to discuss the data problem in more detail in personal chat.
Thank You
Related Posts with sureg with fixed effects and clustered errors
Comparing non nested models with xtmelogitDear all, I am using xtmelogit to run a multilevel logistic regression with PISA data. My data is h…
LOOP ERROR no observations definedDear Stata Users I have been running a loop for each out of 5 years. Code: clear all cd "\\regist…
Panel regression model with N>T and serial autocorrelated error.Dear all, I've been trying to estimate a panel regression model on a dataset with N>T, where N i…
Calculate volatility of daily returns by use of GARCHHi, We try to calculate the forecasted implied volatility of daily returns by use of the GARCH (1,1…
method for omitted variable bias cross sectional analysisDear all, I have a cross sectional analysis to analyse the effect of head circumference (continuous …
Subscribe to:
Post Comments (Atom)
0 Response to sureg with fixed effects and clustered errors
Post a Comment