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st: simultaneous equations with a constraint on the error term


From   "Molly Lipscomb" <molly.lipscomb@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: simultaneous equations with a constraint on the error term
Date   Fri, 9 Mar 2007 10:31:54 -0500

Hi everyone,

It looks like my previous message had formatting problems, so here is
the question again (sorry):

I have panel data, and I am trying to estimate a model with
simultaneous equations similar to that in Altonji et al. (2005):

Z=X*beta+u
Y=X*gamma+alpha*Z+v
where the correlation between u and v, p, is
p=Cov(X*beta, X*gamma)/Var(X*gamma)

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 term?  Also, is there a reg3 that is meant for panel data?

I would really appreciate any ideas.

Thanks,
Molly
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