SURE Models

In recent weeks I've had several people email to ask if I can recommend a book that goes into all of the details about the "Seemingly Unrelated Regression Equations" (SURE, or just SUR) model.

Any decent econometrics text discusses this model, of course. However, the treatment usually focuses on the asymptotic properties of the standard estimators - iterated feasible GLS, or MLE.

Attention, Stata Users

I've mentioned the Econometrics by Simulation blog before. Although it's still relatively new, it's had some great posts, and Francis Smart is doing a terrific job, as is reflected in the way that the page view numbers are building up.

Definitely worth a look, especially (but not only) if you're a Stata user.

© 2012, David E. Giles