XTREGs and XTSUR differences

[Jane Fry]

Hi,

I am wondering why equation by equation XTREG with random effects (same vars in each equation) gives different results to XTSUR (random effects) (same variables in each equation). In a cross section world they should be the same... Is this something to do with the random effects?

Grateful for any thoughts.

Jane.

[Roman Mostazir]

I won't be surprised if they produce different results because the help files suggest that they use different method to fit the models. -xtreg- uses GLS estimator (weighted average of between-within estiamator) whereas -xtsur- evaluates the function in two-steps; In first step it uses GLS and combine with Maximum likelihood in second step.

[Jane Fry]

ok. Thanks.