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Re: st: How to estimate simultaneous equation model for panel data


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to estimate simultaneous equation model for panel data
Date   Thu, 18 Mar 2004 11:12:18 -0000

Kim,

Stata doesn't have a built-in routine for panel data simultaneous 
equations.  Maybe someone out there has written their own program for 
this, but when I did -findit panel simultaneous- nothing came up.

If you can transform or recast your model into a non-panel framework 
(e.g., by transforming into deviations from means or using explicit 
dummies for observational units) you could use -reg3- to do 3-stage 
least squares.

The alternative is to estimate the system equation-by-equation using
-xtreg- or -xtabond- or -xtivreg- or whatever.  It won't be efficient 
(in the way that a system estimator like -reg3- is) but your results 
will be consistent, and will have the usual advantage over system 
estimation in that if one equation is misspecified, it won't spill 
over and contaminate the estimation results for the other equation.

Hope this helps.

--Mark

Subject:        	st: How to estimate simultaneous equation model for panel data
Date sent:      	Thu, 18 Mar 2004 14:21:14 +0900
From:           	±θΗφΑΎ <kim@keri.org>
To:             	<statalist@hsphsun2.harvard.edu>
Send reply to:  	statalist@hsphsun2.harvard.edu

> Dear Stata-listers:
> 
> I need to estimate simultaneous equation model for panel data.(two
> linear regression models with correlated error is enough). I searched
> help and statalist archive, but could not locate any information. How
> can I estimate such a model on Stata? I appreciate any information.
> Thanks in advance 
> 
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/


Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



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