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| 2-Level Seemingly Unrelated Regression |
 
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I'm trying to run two 2-level regressions while accounting for correlated errors between the regressions (i.e., a seemingly unrelated regression). The two regressions have different DVs and a mix of the same and different IVs. Following a previous post on a related topic (http://www.statmodel.com/discussion/messages/11/2964.html?1205362039), I've adapted your standard 2-level model as follows:
VARIABLE: NAMES = y1 y2 x1 x2 x3 w clus;
WITHIN = x1 x2 x3;
BETWEEN = w;
CLUSTER = clus;
DEFINE: CENTER x1 x2 x3 (GRANDMEAN);
ANALYSIS: TYPE = TWOLEVEL;
MODEL:
%WITHIN%
y1 ON x1 x3;
y2 ON x2 x3;
%BETWEEN%
y1 ON w;
y2 ON w;
OUTPUT:
STANDARDIZED;
Now my question is: Does this model account for correlated standard errors between the two regressions and if yes, how?
Thanks in advance for your help! |
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| Check if the parameters y1 WITH y2 are estimated as the default. If not add them to your model. |
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| Thanks so much, Linda, for your fast reply. If I understand you correctly, then, the inclusion of "y1 WITH y2" into the %WITHIN% portion of the above model would account for correlated standard errors between the two regressions, correct? |
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| The correlated residuals not standard errors. |
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| Makes sense, thanks so much for your help! |
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