A Dynamic Seemingly Unrelated Regression

[Solan Toti]

Hello,
Can someone please let me know if there is a do-file to run Dynamic Seemingly Unrelated regression using Stata?
I appreciate every help I may receive.
regards,
Solan.

[Sebastian Kripfganz]

It seems to me that your are having a VAR with exogenous variables in mind.

var y1 y2, exog(x1 x2)

[Solan Toti]

Sebastian,
Thank you for the reply. I have data set for 40 countries over 1989-2012 and wanted to apply dynamic Seemingly Unrelated Regressions (DSUR) and Dynamic OLS to estimate multiple cointegrating regressions, following "Mark, N.C., Ogaki, M., & Sul, D., 2005. Dynamic Seemingly Unrelated Cointegrating Regressions. Review of Economic Studies, 72:797-820". They used Gauss software, which I'm not familiar with and wanted to know if someone has already applied the regressions in Stata.
regards,
Solan.

[Lise Pe]

Hello, I am interested in this method as well. How did you solve your problem? Did you find a process on Stata or did you use Gauss software?
Regards,
Lise