SUR: exactly same x variable list and two y variables

[guneet robin]

Hi,

I have a list of independent variables (firm level). This list of variables, impacts various firm decisions which are usually co-determined. Can I use SUR in this case - 2 different y's and same list of x's? This will increase efficiency compared to a regular two-equation OLS. However, I am curious if there is any other way to handle the situation?

Best,
guneet

[Fei Wang]

Yes you may run -sureg-. Another better option might be -mvreg- which generates identical results but is simpler in coding and faster in calculating.

[Jeff Wooldridge]

If you use the same x’s in the two equations then SUR GLS is the same as OLS on each equation.