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st: urgent help on symultaneous dynamic equation and gmm


From   "sistoand80" <sistoand80@libero.it>
To   "stata statta" <statalist@hsphsun2.harvard.edu>
Subject   st: urgent help on symultaneous dynamic equation and gmm
Date   Wed, 23 Mar 2005 15:22:12 +0100

Dear all,
I have a panel dataset and I need some suggestion to how i can estimate the following symultaneous equations with Stata, each of them contains a lag of dependent variable to instrument via gmm

(1) y(t) = y(t-1) + Z(t) + x(t-1) + e(t)
(1) x(t) = x(t-1) + Z(t) + y(t-1) + u(t)

y(t-1) in equation (1) and x(t-1) in equation (2) are endogenous variable and they need to be instrumented via gmm with different lags of each dependent variable in level (see dynamic panel model estimator "xtabond" and Arellano and Bond, 1991). Note that the vector of exogenous variable Z(t) are the same for equation (1) and (2). How i can solve this system? Is there any stata command to estimate symultaneously eq (1) and (2).

Thank you for your suggestions,

Andrea Sisto
Phd student
University of Eastern Piedmont



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