st: Restrictions and alternative variance estimators, with panel data

["E. van der Werf" <E.H.vanderWerf@uvt.nl>]

Dear all,


I have an (unbalanced) panel and would like to estimate a system of 2 equations with cross-equation restrictions. I have two problems given this framework: 1) being able to use alternative variance estimators; 2) being able to use other estimators than the dummies-based fixed effects within-groups estimator.


*So far I have used -reg3- with the –ols- option, using hand-made dummies and –constraints-. However, this does not allow for alternative variance estimators like robust, nor can I use a between-groups estimator. 

*Alternatively I could use –cnsreg- and stack the data for the two equations, using hand-made dummies and –constraints-, but this gives me the same problems (or is –vce(bootstrap)- accounting for possible heteroskedasticity and/or autocorrelation? I am not familiar with bootstrapping.).

*The panel data commands of Stata do not allow for restrictions.


Does anyone have a suggestion for how to proceed? How can I use both restrictions and some robust estimate of standard errors? And how can I move away from the within-group estimator using hand-made dummies when using restrictions?


Thank you very much in advance for your help.

Best regards,

Edwin van der Werf


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