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# st: newey for panels

 From "Fabia Aparecida de Carvalho" To Subject st: newey for panels Date Wed, 16 Feb 2005 16:14:46 -0200

```Hi there, would anyone please tell me which command is more suitable to run GMM in a time series cross section dataset using newey-west covar matrix with the option of defining the maximum autocorrelation lag? My Stata version is 7. Thank you, Fabia Carvalho

-----Mensagem original-----
De: heisnam singh [mailto:thoihen@yahoo.com]
Enviada em: Wednesday, February 16, 2005 4:06 PM
Para: statalist@hsphsun2.harvard.edu
Assunto: st: St : simultaneous equations with heckman selection

Dear statalist,
I am trying to estimate a system of 3
equations(rather 4 equations as will become clear). I
will write the model down with slight abuse of
notations(not differentiating clearly between latent
and observed variables)
The first equation(or first 2 equations) is a
standard Heckman model:
Y1=X1b1+u1 and  a selection equation Y0=X0b0+u0 where
Y1 is observed only if Y0>Y*.
The second equation can be one  of two types:
1)A censored  data model(tobit).
Y2=a2Y1+X2b2+u2 where we only observe Y2>0
2) A heterogenous count data model where in the above
equation Y2 only takes 0 or positive integer values or
explicitly
Y2=exp(b12Y1+X2b22+u2)

And finally a linear equation:
Y3=a3log(Y2)+X3b3+u3

Is there a command or program in stata which allows me
to estimate such a system? For example can we estimate
a heckman model simultaneouly with a tobit and a
linear equation? Or more generally is there a
program/command in stata which can estimate a
simultaneous system of equations when one of the
equation in the system is characterised by the heckman
model?Thank you.
Thoihen

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