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Re: st: reg3 or xt for simultaneous equation model with panel data and lagged effects?


From   "Vladimir V. Dashkeyev" <dashkeyev@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: reg3 or xt for simultaneous equation model with panel data and lagged effects?
Date   Sun, 25 Feb 2007 22:15:59 +0300

Dear Mr. Sabherwal,

In your first message it was said that you were going to use RE model.
Is the only justification of this specification your will to estimate
time-invariant variables? Does not the assumption of zero correlation
among effects and regressors seem too strong for your firms research?

Best,
Vladimir.

On 2/24/07, Rajiv Sabherwal <sabherwal@umsl.edu> wrote:
Hello,

I had earlier sent the message below to statalist. However, a few
minutes ago, it struck me that the equations I have may not be a
"simultaneous equation model" at all. This is based partly on Kit
Baum's message on http://www.stata.com/statalist/archive/2004-03/
msg01120.html.

In our model (given below), none of the endogeneous variables affect
each other at that time. All the variables on the right-hand sides of
all equations are either exogneous of lagged-endogeneous (i.e., pre-
determined).

Therefore, it would seem that simple panel regressions, rather than
simultaneous models, would be appropriate. Am I missing something?

Thanks, and best wishes,

Rajiv

On Feb 23, 2007, at 1:25 PM, Rajiv Sabherwal wrote:

> Hello,
>
> 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.
> 433-465.
>
> Please advise. Thanks a lot, and best wishes,
>
> Rajiv
>
> ----
> 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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