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As I understand it, the the seemingly unrelated regressions (SUR) or seemingly unrelated regression equations (SURE) models estimate a set of Ordinary Least Squares (OLS) equations where the error terms may be correlated across equations.

Correcting for multiple comparisons allows one to adjust for improper significance calculations when simultaneously considering multiple equations, essentially.

Do SUR or SURE accomplish a similar adjustment as multiple comparisons corrections? Are they related in any way?

M. King
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1 Answers1

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They have the opposite implication for p-values.

SUR is a way of trying to reduce the SE of estimates when estimating OLS by leveraging the correlation of outcomes.

Multiple comparison corrections increase p-values to account for the multiple tests.

Ref: Twitter

M. King
  • 21
  • 4