* Seemingly Unrelated Regressions (SUR) in Stata
* Copyright 2013 by Ani Katchova
clear all
set more off
use C:\Econometrics\Data\sur_scores
global y1list math
global y2list read
global x1list female prog science
global x2list female socst
global x1 female
describe $y1list $y2list $x1list $x2list
summarize $y1list $y2list $x1list $x2list
* OLS regressions
reg $y1list $x1list
reg $y2list $x2list
* SUR model
sureg ($y1list $x1list) ($y2list $x2list), corr
* Testing of cross-equation constraints
test [$y1list]$x1 = [$y2list]$x1
* SUR model with cross-equation constraint
constraint 1 [$y1list]$x1 = [$y2list]$x1
sureg ($y1list $x1list)($y2list $x2list), constraints(1)
. * Seemingly Unrelated Regressions (SUR) in Stata
. * Copyright 2013 by Ani Katchova
.
. clear all
. set more off
.
. use C:\Econometrics\Data\sur_scores
(highschool and beyond (200 cases))
.
. global y1list math
. global y2list read
. global x1list female prog science
. global x2list female socst
. global x1 female
.
. describe $y1list $y2list $x1list $x2list
storage display value
variable name type format label variable label
--------------------------------------------------------------------------------------
-------------------
math float %9.0g math score
read float %9.0g reading score
female float %9.0g
prog float %9.0g type of program
science float %9.0g science score
female float %9.0g
socst float %9.0g social studies score
. summarize $y1list $y2list $x1list $x2list
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
math | 200 52.645 9.368448 33 75
read | 200 52.23 10.25294 28 76
female | 200 .545 .4992205 0 1
prog | 200 2.025 .6904772 1 3
science | 200 51.85 9.900891 26 74
-------------+--------------------------------------------------------
female | 200 .545 .4992205 0 1
socst | 200 52.405 10.73579 26 71
.
. * OLS regressions
. reg $y1list $x1list
Source | SS df MS Number of obs = 200
-------------+------------------------------ F( 3, 196) = 43.81
Model | 7010.50752 3 2336.83584 Prob > F = 0.0000
Residual | 10455.2875 196 53.3433035 R-squared = 0.4014
-------------+------------------------------ Adj R-squared = 0.3922
Total | 17465.795 199 87.7678141 Root MSE = 7.3037
------------------------------------------------------------------------------
math | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
female | .9656828 1.045894 0.92 0.357 -1.096968 3.028333
prog | -.4128426 .7638838 -0.54 0.589 -1.919329 1.093644
science | .5975687 .053712 11.13 0.000 .491641 .7034964
_cons | 21.97077 3.582234 6.13 0.000 14.9061 29.03544
------------------------------------------------------------------------------
. reg $y2list $x2list
Source | SS df MS Number of obs = 200
-------------+------------------------------ F( 2, 197) = 63.93
Model | 8233.79028 2 4116.89514 Prob > F = 0.0000
Residual | 12685.6297 197 64.3940595 R-squared = 0.3936
-------------+------------------------------ Adj R-squared = 0.3874
Total | 20919.42 199 105.122714 Root MSE = 8.0246
------------------------------------------------------------------------------
read | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
female | -1.763517 1.141039 -1.55 0.124 -4.013735 .4867015
socst | .5978268 .0530589 11.27 0.000 .4931903 .7024632
_cons | 21.86201 2.873858 7.61 0.000 16.19453 27.52948
------------------------------------------------------------------------------
.
. * SUR model
. sureg ($y1list $x1list) ($y2list $x2list), corr
Seemingly unrelated regression
----------------------------------------------------------------------
Equation Obs Parms RMSE "R-sq" chi2 P
----------------------------------------------------------------------
math 200 3 7.256297 0.3971 111.11 0.0000
read 200 2 7.981054 0.3910 112.68 0.0000
----------------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
math |
female | .8047752 1.035145 0.78 0.437 -1.224072 2.833622
prog | -.5303 .7433182 -0.71 0.476 -1.987177 .9265769
science | .5338002 .0524355 10.18 0.000 .4310285 .6365718
_cons | 25.60272 3.493717 7.33 0.000 18.75516 32.45028
-------------+----------------------------------------------------------------
read |
female | -1.708889 1.132408 -1.51 0.131 -3.928367 .5105893
socst | .5493215 .0519639 10.57 0.000 .4474741 .6511688
_cons | 24.37415 2.817793 8.65 0.000 18.85138 29.89693
------------------------------------------------------------------------------
Correlation matrix of residuals:
math read
math 1.0000
read 0.1849 1.0000
Breusch-Pagan test of independence: chi2(1) = 6.835, Pr = 0.0089
.
. * Testing of cross-equation constraints
. test [$y1list]$x1 = [$y2list]$x1
( 1) [math]female - [read]female = 0
chi2( 1) = 3.28
Prob > chi2 = 0.0701
.
. * SUR model with cross-equation constraint
. constraint 1 [$y1list]$x1 = [$y2list]$x1
. sureg ($y1list $x1list)($y2list $x2list), constraints(1)
Seemingly unrelated regression
----------------------------------------------------------------------
Equation Obs Parms RMSE "R-sq" chi2 P
----------------------------------------------------------------------
math 200 3 7.284186 0.3924 109.08 0.0000
read 200 2 8.013775 0.3860 109.60 0.0000
----------------------------------------------------------------------
( 1) [math]female - [read]female = 0
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
math |
female | -.3152625 .8328986 -0.38 0.705 -1.947714 1.317189
prog | -.5481211 .7468853 -0.73 0.463 -2.011989 .9157471
science | .525379 .0524311 10.02 0.000 .4226158 .6281422
_cons | 26.68586 3.453638 7.73 0.000 19.91686 33.45487
-------------+----------------------------------------------------------------
read |
female | -.3152625 .8328986 -0.38 0.705 -1.947714 1.317189
socst | .5454426 .0521048 10.47 0.000 .4433191 .6475661
_cons | 23.8179 2.814497 8.46 0.000 18.30159 29.33421
------------------------------------------------------------------------------
