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st: reg3 in a panel context


From   Kit Baum <baum@bc.edu>
To   "Mehmet Eris" <mneris@gmail.com>
Subject   st: reg3 in a panel context
Date   Wed, 9 Aug 2006 09:45:51 -0400

Mehmet,

I presume in mentioning reg3 you refer to estimation of simultaneous equations. The 'third stage', or Zellner step, of a 3SLS estimator only gains efficiency over single equation (limited information) estimation, so is never required to generate consistent estimates. Nevertheless, you may want to use a systems estimator in order to impose cross-equation constraints on the structural equations or test hypotheses.

That said, just as you can run 'regress' or 'ivreg' / 'ivrge2' on panel data without taking the panel structure into account, you can run 'reg3' to perform pooled cross section/time series estimation of a set of structural equations. If one of the dimensions of the panel is short, and you want to perform the equivalent of a fixed effects estimator (assuming that you do not have dynamic equations), you could insert the appropriate set of dummies.

Alternatively, if you have a panel of e.g. a few units (say, the G7 countries, or several two-digit SIC industries) over a long time span, you could define each country's data as a separate structural equation, and apply cross-equation constraints where theoretically appropriate. Imagine that you are estimating the demand and supply of internationally traded widgets as a two-equation system (with Q and P as the endogenous variables), and you have data for the G7. You could then set it up as a system of seven demand equations and seven supply equations, and run reg3 on that 14-equation system. To carry this out the data would have to be in the 'wide' format.


Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Aug 9, 2006, at 3:58 AM, Mehmet Eris wrote:


Dear Dr. Baum,

I have a question about a Stata module. I currently need a stata
module which can do what reg3 does using panel data. Does such a
module exist? I searched for it for a while and it seems that some
other people were looking for it as well. I am wondering if you know
how I can go about this. Thank you very much for your time!

Best regards,
Mehmet
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