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st: re: gmm and systems of structural equations


From   Kit Baum <kitbaum@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: gmm and systems of structural equations
Date   Sun, 27 May 2007 15:29:47 -0400

sacrificial faq

Fausto said

      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?


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 -- is just
fine here.


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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