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RE: st: Re: GMM and systems of structural equations
I tried xtabond2, but I need something more. In my model, I need to use a
system equation (like reg3, 3SlS estimation) and a estimation for a panel
data with lag dependent (xtabond2), and I didnt find a program which I could
estimate a panel with a system equation and a arellano-bond.
Do you know something that I could use?
From: "Rodrigo A. Alfaro" <[email protected]>
Reply-To: [email protected]
To: <[email protected]>
Subject: st: Re: GMM and systems of structural equations
Date: Sun, 27 May 2007 15:59:41 -0400
I did not get the question, but did you try -xtabond2-?
R
----- Original Message ----- From: "Fausto Araujo" <[email protected]>
To: <[email protected]>
Sent: Sunday, May 27, 2007 11:56 AM
Subject: st: GMM and systems of structural equations
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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