Why seemingly unrelated regression

Creel, M. SUR estimation of multiple time-series models with heteroskedasticity and serial correlation of unknown form. Economic Letters — Davidson, R. Estimation and inference in econometrics. Oxford: Oxford University Press. Google Scholar. Fiebig, D. Seemingly unrelated regression. In A companion to theoretical econometrics , ed.

Oxford: Blackwell. Greene, W. Econometric analysis. Englewood Cliffs: Prentice-Hall. Groen, J. Likelihood-based cointegration analysis in panels of vector error correction models. Journal of Business and Economic Statistics — Hodgson, D. Linton, and K. Testing the capital asset pricing model efficiently under elliptical symmetry: A semiparametric approach. Journal of Applied Econometrics — Larsson, R.

Lyhagen, and M. Likelihood-based cointegration tests in heterogeneous panels. The Econometrics Journal 4: — Kakwani, N. Journal of the American Statistical Association — Kmenta, J.

Small sample properties of alternative estimators for seemingly unrelated regressions. Kruskal, W. When are Gauss—Markov and least squares estimators identical? Annals of Mathematical Statistics 70— Mark, N. Ogaki, and D. Dynamic seemingly unrelated cointegrating regressions. Review of Economic Studies — Moon, H. A note on fully-modified estimation of seemingly unrelated regression models with integrated regressors. The Stata command to do seemingly unrelated regression is sureg.

We will illustrate sureg using the file hsb2. We will use two equations, one for read and one for math and run the sureg command. With this command we are estimating two equations, one in which read is predicted by female , ses , and socst ; and the other where math is predicted by female , ses , and science.

The separate equations are specified in parentheses, with the dependent variable outcome listed first, followed by the independent predictor variables. The "relationship" between these two equations is that the error terms in the two equations are allowed to correlate.