Using Seeming unrelated regression with Cloglog method

[Ujjawal Sawarn]

Hi, I am trying to run seeming unrelated regression estimation (SURE) with cloglog method. I have an unbalanced panel dataset. I have found SURE for probit model, but I want to use cloglog method. This has been used in one very cited paper, but I couldn't find any option in STATA.
Please help!!

[Joro Kolev]

I think -gsem- can do what you want.

Check the help for

help gsem family and link options

[Ujjawal Sawarn]

Thanks a lot for your reply. But I can only find logit and probit regression option in gsem help.
Please elaborate, how I should proceed.

[Rich Goldstein]

please see

help gsem family and link options

which is what Joro Kolev told you in #2 above; not only can you get there thru the family() and link() options but there is a direct option for cloglog

[Ujjawal Sawarn]

Yeah, I got it. Thank you very much