name conflict in identifying a matrix

[Omer Zeybek]

Hi,

I need to compare parameters of equation coming from SUR and GLM estimations. So I need to code a procedure for Hausman Specification Test. Because I am unable to subset parameters of first equation from a SUR estimation. I filtered parameter vector and var-cov matrix of SUR estimation

  sysuse sp500.dta
               tsset date
 sureg (open L1.open L2.open L1.high L2.high L3.high) (high L1.open L2.open L1.high L2.high)

Seemingly unrelated regression
------------------------------------------------------------------------------
Equation             Obs   Params         RMSE  "R-squared"      chi2   P>chi2
------------------------------------------------------------------------------
open                  90        5      7.61825      0.9928   12416.11   0.0000
high                  90        4     11.59675      0.9828    5156.78   0.0000
------------------------------------------------------------------------------

------------------------------------------------------------------------------
             | Coefficient  Std. err.      z    P>|z|     [95% conf. interval]
-------------+----------------------------------------------------------------
open         |
        open |
         L1. |  -.4114277   .1297403    -3.17   0.002    -.6657139   -.1571415
         L2. |   .0716423    .091755     0.78   0.435    -.1081943    .2514789
             |
        high |
         L1. |   1.339624   .0796114    16.83   0.000     1.183588    1.495659
         L2. |    .094866   .1446546     0.66   0.512    -.1886517    .3783837
         L3. |  -.0810755   .0515966    -1.57   0.116     -.182203    .0200519
             |
       _cons |   -29.7035   11.58405    -2.56   0.010    -52.40783   -6.999178
-------------+----------------------------------------------------------------
high         |
        open |
         L1. |   -.614001   .1973872    -3.11   0.002    -1.000873   -.2271291
         L2. |   .0386898   .1194357     0.32   0.746       -.1954    .2727795
             |
        high |
         L1. |   1.374734   .1211697    11.35   0.000     1.137246    1.612223
         L2. |   .2000723   .2200332     0.91   0.363    -.2311849    .6313294
             |
       _cons |  -6.871725   17.42993    -0.39   0.693    -41.03377    27.29032
------------------------------------------------------------------------------

.  mat open  = e(b)[1, "open:"]

.  mat open_varcov  = e(V)["open:","open:"]

Then I tried to assign these matrices to an instrumental equation specified as bellow

reg (open L1.open L2.open L1.high L2.high L3.high)
erepost b = open
erepost open_varcov = e(V)["open:","open:"]

But I received the following error

[P] error . . . . . . . . . . . . . . . . . . . . . . . . Return code 507
name conflict
You have issued a matrix post command, and the variance-
covariance matrix of the estimators does not have the same row
and column names, or if it does, those names are not the same
as for the coefficient vector.

(end of search)

previously I have completed a similar procedure for a cross sectional study and it was ok. Does L1. lag operators could be the problem? Do I need to generate lag variables separately and use these generated variables in my model.

Thank you very much

[Andrew Musau]

erepost is from SSC (FAQ Advice #12).

sysuse sp500.dta, clear
tsset date
sureg (open L1.open L2.open L1.high L2.high L3.high) (high L1.open L2.open L1.high L2.high)
mat open  = e(b)[1, "open:"]
mat open_varcov  = e(V)["open:","open:"]
reg (open L1.open L2.open L1.high L2.high L3.high)
erepost b = open, rename
erepost V = open_varcov, rename

Res.:

. mat l e(b)

e(b)[1,6]
          open:       open:       open:       open:       open:       open:
             L.         L2.          L.         L2.         L3.            
          open        open        high        high        high       _cons
y1  -.41142769   .07164233    1.339624   .09486599  -.08107551  -29.703504

. mat l e(V)

symmetric e(V)[6,6]
                    open:       open:       open:       open:       open:       open:
                       L.         L2.          L.         L2.         L3.            
                    open        open        high        high        high       _cons
 open:L.open   .01683253
open:L2.open   .00257293   .00841899
 open:L.high  -.00711145   .00016995   .00633798
open:L2.high  -.01267201  -.00870173   .00080332   .02092494
open:L3.high   .00023364  -.00245486  -.00008377  -.00030074   .00266221
  open:_cons   .38166722   .11286329  -.21235015  -.29784833  -.09083142   134.19027