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# st: Endogenous variable in

 From revollo7@etu.unige.ch To statalist@hsphsun2.harvard.edu Subject st: Endogenous variable in Date Wed, 24 Nov 2004 20:08:34 +0100

```Hi STATALISTERS,

I am student of Master degree at the Unversity of Geneva, I am coimputing the
estimation of this 2 eq. The first is a loglog cost function with 3 variables,
using a panel data.

(1) ln C(t)= beta_{q}ln q(t) + beta_{R}ln R(t)+ beta_{pm}  ln pm()
(2) (P(t) - e^{rt} P_{0}) - beta_{q}left[ C_{t}/q_{t}- e^{rt} C_{0}/q_{0} right]
= beta_{R} [ (1+r)^t C_{0}/R_{0}+ (1+r)^(t-1) C_{1}/R_{1} + ... + (1+r)
C_{t-1}/R_{t-1} + C_{t}/R_{t} ]

Empirical strategy :

1. estimate (1) by fixed effects 2sls IV
2. estimate the system by 3sls, however is a nonlinear and a presence of lagged
endogenous variable said to me is a fair estimator. Fair, Ray C. "The estimation
of Simultaneous Equation Models with Lagged Endogenous Variables and the First
Order Serially Correlated Errors", Econometrica 38 (May 1970 ) 507-16.

How can I compute the Fair estimator in STATA ?

Thank you for your time and help.

Gustavo Revollo
cite universitaire
46 av. miremont
1206 geneve
switzerland
revollo7@etu.unige.ch
00 41 78 680 47 45

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