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SUREGR: Stata module to calculate robust, or cluster-robust variance after sureg

Author

Listed:
  • Gueorgui I. Kolev

    (Coventry University)

Programming Language

Stata

Abstract

Stata's sureg fits seemingly unrelated regressions by generalised least squares. However sureg cannot estimate robust or cluster-robust variance matrix and standard errors for the parameter estimates. The suregr routine computes robust or cluster-robust covariance matrix estimates after sureg.

Suggested Citation

  • Gueorgui I. Kolev, 2021. "SUREGR: Stata module to calculate robust, or cluster-robust variance after sureg," Statistical Software Components S458938, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458938
    Note: This module should be installed from within Stata by typing "ssc install suregr". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/s/suregr.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/suregr.sthlp
    File Function: help file
    Download Restriction: no
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    More about this item

    Keywords

    SUR; sureg; robust; cluster-robust; Stata;
    All these keywords.

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