I would like to estimate a SUR model with an unbalanced panel and with cross equation restrictions. This does not seem possible with the standard SUR commands in Stata or R. Do you have an idea which program and or package I could use?
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1I've been trying to find a way to do this too, but it doesn't seem to be implemented anywhere. [Estimation and testing of fixed-effect panel-data systems](http://www.stata-journal.com/sjpdf.html?articlenum=st0084) offers a way to set this up in `Stata`, but I believe the panel needs to be balanced. The [systemfit](https://cran.r-project.org/web/packages/systemfit/vignettes/systemfit.pdf) package in R says this is a goal of the package, but has not been implemented yet. Have you found any success in implementing this? – Amstell Nov 27 '17 at 05:05