SUR - ECON3300 SEEMINGLY UNRELATED REGRESSION (SUR)...

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Unformatted text preview: ECON3300 SEEMINGLY UNRELATED REGRESSION (SUR) Reference : Hill, Chapter 17, pages: 351-356 To study the economic behaviour of electric utility firms, we have data for a number of such firms over a number of years panel data. Consider INV = f (V, K) for N firms Nt Nt 2 N Nt 1 N N Nt t 2 t 2 22 t 2 21 20 t 2 t 1 t 1 12 t 1 11 10 t 1 e K V INV e K V INV e K V INV + + + = + + + = + + + = M M M M M Three Ways of Estimation Separate regressions N i e K V INV it it i it i i it .. 2 , 1 2 1 = + + + = Not e: Intercept and response parameters differ for each firm. Pooling the data but intercept and response parameters do not differ for each firm. N .. 2 , 1 i e K V INV it it 3 it 2 1 it = + + + = 1 Capital stock Stock market value Investment Pooling the data but using dummies to link equations for each firm. Consider 2 firms: General Electric (G) 20 observations Westinghouse (W) 20 observations t t t t G t t t G t G t e K D K V D...
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SUR - ECON3300 SEEMINGLY UNRELATED REGRESSION (SUR)...

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