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st: simultaneous equations estimation with constraint on the error ter=


From   "Molly Lipscomb" <molly.lipscomb@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: simultaneous equations estimation with constraint on the error ter=
Date   Fri, 9 Mar 2007 09:46:39 -0500

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Hi,

I have panel data, and I am trying to estimate a model with
simultaneous equations similar to that in Altonji et al (2005) (but I
am using a linear framework while they use probit):

   CH =3D X=E2 +u
   Y =3D X=E3 + =E1CH + =E5
where the correlation between u and epsilon, p, is constrained to be:
p=3DCOV(X=E2, X=E3)/Var(X=E3)

I was considering trying to use reg3, but it looks like the
constraints for reg3 are constraints on the coefficients rather than
the error terms.  Is there a way to impose this constraint on the
error terms?  Also, is there a reg3 that is meant for estimation with
panel data?

I would really appreciate any ideas.
Thanks,
Molly

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