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st: Simultaneous Panel Data model


From   "Alvaro Ruiz-Navajas" <alvaro.g.ruiz-navajas-1@student.manchester.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Simultaneous Panel Data model
Date   Tue, 18 Apr 2006 17:25:15 +0000

Hi,
I want to estimate a simultaneous model with panel data using 2sls.

The model is as follows (I have omitted time and individual
subscripts, as well as errors):

y1= a + bx1 +bx2 + ... + by2
y2= c + bz1 +bz2 + ... + by1

This would be the kind of model for which one would use -reg3- if
we were talking about cross section data.

Now, the problem is that if I estimate each equation separately,
using the two-stage procedure, estimates will be inefficient when
compared to the system estimates.

Does anybody have any ideas as to how I might solve the problem?
I would appreciate any insights you may have.

Thanks in advance,
Alvaro
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