st: Re: symultaneous system estimation with serial correlation

[Kit Baum <baum@bc.edu>]

This is a FAQ. _Why_ do you need to jointly estimate these equations?  
Are you imposing cross-equation constraints, or need to test for  
same? If not, you can gain consistent point and interval estimates of  
each equation by single-equation (limited-information) estimation.  
The only thing that systems (full-information) estimation has to  
offer is a possible gain in efficiency. On the down side, systems  
estimation also implies that any misspecification will pollute the  
entire system, not just the equation in which it appears.

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


On Jun 15, 2007, at 2:33 AM, John wrote:


> i need to jointly estimate a simultaneous system of equations on panel
> data with a long time series dimension.
> my problem is that i need to correct for error serial correlations and
> as far as i understand this cannot be done under the 3sls "reg3"
> command.
>
> the command "ivreg2" would be useful, but it seems it can only applied
> in a single equation setting.
>
> is there a way to estimate a system of equation correcting for error
> serial correlation?
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