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st: lagged variables in simultaneous equations


From   Bernard Forgues <bernard.forgues@dauphine.fr>
To   statalist@hsphsun2.harvard.edu
Subject   st: lagged variables in simultaneous equations
Date   Wed, 22 Oct 2003 18:21:45 +0200

I'm using 3SLS (i.e., reg3 in Stata) to run a four-equation model on time-series data.
The model looks like this:
Y1 = Beta0 + Beta1 Y2 + Beta2 Y3 + Beta3 controls + e
Y2 = Delta0 + Delta1 Y1 + Delta2 Y4 + Delta3 controls + e
Y3 =Gamma0 + Gamma1 Y4 + Gamma2 Y1 + Gamma3 controls + e
Y4 = Phi0 + Phi1 Y3 + Phi2 Y2 + Phi3 controls + e
Please note that in all four equations, endogenous variables are lagged.
I'm not quite sure whether lagging endogenous variables is correct?
Any help and/or references would be greatly appreciated.
Thanks in advance!
Bernard
--

Bernard Forgues
mailto:bernard.forgues@dauphine.fr
Co-Editor, M@n@gement: http://www.dmsp.dauphine.fr/Management/
Home page: http://www.dmsp.dauphine.fr/~bernard/
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