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st: Simultaneous equations with lagged endogenous variables

From   "James W. Shaw" <>
To   <>
Subject   st: Simultaneous equations with lagged endogenous variables
Date   Wed, 5 May 2004 09:04:25 -0400

Dear Sirs:

Is there any way to estimate simultaneous equations that include lagged
endogenous variables using Stata?  For example, the following equations:

P_ij = U_ij + U_i(j-1) + P_i(j-1) + X(1), and

U_ij = P_ij + P_i(j-1) + X(2),

where i indexes subject, j indexes time, U and P are endogenous variables,
and X(1) and X(2) are overlapping sets of exogenous variables.  I makes no
difference to me whether I estimate the equations as a system or
individually.  However, since I am working with repeated measures on
subjects, I would prefer a method that can account for clustering or random
effects.  I think that -xtabond- and -xtabond2- may be capable of doing what
I want to do, but I am not sure.  Any suggestions would be appreciated.

James Shaw
College of Pharmacy
The University of Arizona

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