From the help desk: Seemingly unrelated regression with unbalanced equations
Abstract. This article demonstrates how to estimate the parameters of a system of
seemingly unrelated regressions when the equations are unbalanced, i.e.,
when the equations have an unequal number of observations. With estimators
that require the data to be in wide format, such as Stata’s
sureg, the equations must be balanced. Any additional observations
that are available for some equations, but not for all, are discarded,
potentially resulting in a loss of efficiency. Reshaping and scaling the
data allows us to use Stata’s xtgee command to fit the model
and obtain estimates utilizing all the available data. The resulting
estimator is potentially more efficient when the equations are unbalanced.
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Allen McDowell
View all articles with these keywords:
SUR, seemingly unrelated regression, unbalanced equations, generalized estimating equations
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