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st: Help for dynamic panel and system of dynamic panel

From   "sistoand80" <>
To   "statalist\@hsphsun2\.harvard\.edu" <>
Subject   st: Help for dynamic panel and system of dynamic panel
Date   Thu, 13 May 2004 09:21:43 +0200

Dear All,
I would ask you to give me some suggestions about two problems:

a) I need to estimate a system of simultaneous dynamic panel such as:

y1(t) = y1(t-1) + y2(t-1) + X(t)
y2(t) = y2(t-1) + y1(t-1) + Z(t),

in which each dependent variable (in first difference to eliminate the correlation with fixed error term) depends from its lag and from past lag of  the other dependent variable. I think I have 4 endogenous variables: y1(t) y2(t) y1(t-1) y2(t-1). I want to use as instrument lagged values of X(t) and Z(t). How can I solve this problem using reg3' Should I type a command like
"reg3 (eq1: y1(t) y1(t-1) y2(t-1) X(t)) (eq2:y2(t-1)  y1(t-1)  Z(t)), 2sls endog (y1(t-1) y2(t-1)) inst(l.X(t) l.Z(t))" ?

b) as I have monthly data, should exhist a monthly unit root test? And removing fixed errror and unit root by monthly difference (es. January 2001 - January 2000, February 2001 - February 2000) what kind of instruments I should have to use to perform GMM estimation? As I now that in a classic xtabond lagged dependent variable in first difference is instrumented with all lagged level of dependent variable and predetermined variables from t - 2, also d.y(t-12) [= y(t) - y(t-12)] shoul be instrumented with  l.y(t) and l.X(t) from t - 2?

Thank you for your kindly reply,
Andrea Sisto

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