Seemingly Unrelated Regression

[Rupak Thapa]

This is my equation and I want to run seemingly Unrelated Regression for 1000 firms. Pls suggest if SUR can be done with this model or not.

Ri,t = αi + βi (Rm,t) + γi ×𝐸𝑣𝑒𝑛𝑡+ 𝜀𝑖𝑡

[Carlo Lazzaro]

Rupak:
welcome to this forum.
Could you please provide interested listers with more details concerning your regression specification, possibly translated in Stata language? Thanks.

[Joro Kolev]

Yes, this is a SUR model, and if the event is the same for all firms, then it is also a Multivariate Regression model.

[Rupak Thapa]

Ri,t = αi + βi (Rm,t) + γi ×𝐸𝑣𝑒𝑛𝑡+ 𝜀𝑖𝑡
Rit is Return of i security on time t ( daily return), Rmt is Market Return on day t, event will be either 1 or 0 for companies. Since regressors for all the companies will be same, can this model run S.U.R.? If yes, I want to know the details sureg codes for stata for running this model. Joro Kolev Carlo Lazzaro
Thanks.

[Joro Kolev]

OP, show some data sample using -dataex-. How can we show you the code if you are not showing your data?