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st: reg3 or xt for simultaneous equation model with panel data and lagged effects?
A PhD student and I are trying to test a model containing
simultaneous equations such as the following:
y1(t) = a1 + b11*y1(t-1) + b12*y2(t-1) +b13*y3(t-1) + b14*y4(t-1) +
b15*y5(t-1) + b16*x1 + b17*x2
y2(t) = a2 + b21*y2(t-1) + b23*y3(t-1) + b24*y4(t-1) + b25*y5(t-1) +
b26*x1 + b27*x2
y3(t) = a3 + b31*x3 + b32*x4 +b33*x5
y4(t) = a4 + b41*x6 + b42*x7
y5(t) = a5 + b51*x8 + b52*x9
We have panel data, with 5000 units observed at 50 periods each, and
some time-invariant exogeneous variables characterizing each unit.
None of the exogeneous variables vary over time, but all the
endogeneous variables do.
We believe random effects would be appropriate as we also need to
study the effects of the time-invariant exogeneous variables. We are
contemplating using reg3 (I couldn't find an appropriate xt command,
as xtivreg and xtivreg2 seem to be for a single endogeneous
variable). Would reg3 be appropriate for this situation? Also, how
would we identify the panel variable in reg3?
I have searched the internet and Stata discussion lists, but could
not find an answer. I did find the following paper, which uses reg3,
but with fixed effects and no time-invariant exogeneous variables.
Why Firms Want to Organize Efficiently and What Keeps Them from Doing
so: Inappropriate Governance, Performance, and Adaptation in a
Deregulated Industry, Jack A. Nickerson; Brian S. Silverman,
Administrative Science Quarterly, Vol. 48, No. 3. (Sep., 2003), pp.
Please advise. Thanks a lot, and best wishes,
Rajiv Sabherwal, Ph.D.
University of Missouri Curators Professor
CCB 206, College of Business Administration
University of Missouri, St. Louis
8001 Natural Bridge Road
St. Louis, MO 63121
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