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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