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st: re: GMM and systems of structural equations
I have this model:
This model is a panel data with 5 thousands individuals in 10
this is not a system, I could estimate for arellano an bond, but the
arise when I need to use a systems endogenous equations. So, my doubt
is there a program which it permits to use a arellano and bond and
endogenous equations for panel estimation?
Could someone help in this subject?
Estimation of each of these equations with Arellano-Bond (eg
xtabond2) would be perfectly appropriate. There are no cross-equation
constraints. It is a common misconception that if you can write down
a system of equations (in this case a recursive system) you need a
systems estimator. Systems estimators potentally gain efficiency;
they are not needed for consistency. "Limited information"
estimation, that is, estimating each equation separately with
xtabond2 -- is just fine here. In the absence of cross-equation
constraints, you never 'need' to use a systems estimator.
Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:
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