Hello,

I am trying to estimate a Simultaneous Equation Model using the SUR function with robusterrors.

I first identified the instruments, I then built the model using the equation function and the group function. I then estimated the model using the SUR function. I noticed that whatever the first equation in the SEM is, its coefficients are always insignificant. Meaning that the order of the equations in the VAR is affecting the var-cov matrix of the coefficients. The coefficients are not affected and I always get the same values.

Any idea why this is occuring?

Thank you for your help.

Charbel