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 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?