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st: GMM and systems of structural equations


From   "Fausto Araujo" <ytcfausto@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: GMM and systems of structural equations
Date   Sun, 27 May 2007 15:56:46 +0000

Hi everyone,

I have this model:
y(t)=b0*y(t-1)+b1*X(t)+b2*Z(t)
Z(t)=a0*Z(t-1)+a1*W(t)

This model is a panel data with 5 thousands individuals in 10 years. If this is not a system, I could estimate for arellano an bond, but the problem arise when I need to use a systems endogenous equations. So, my doubt is if is there a program which it permits to use a arellano and bond and systems endogenous equations for panel estimation?
Could someone help in this subject?
I appreciate,
Fausto

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