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From |
nicola.baldini2@unibo.it |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: system estimation with dynamic panel |

Date |
Wed, 28 May 2008 18:53:00 +0200 |

No answer, but I copy and paste a previous message by Kit Baum - sorry that I don't remember the source on Statalist percectly - since it may apply to your case: y(it)=b0*y(it-1)+b1*X(it)+b2*Z(it) Z(it)=a0*Z(it-1)+a1*W(it) Estimation of each of these equations with Arellano-Bond 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 potentially gain efficiency; they are not needed for consistency. "Limited information" estimation, that is, estimating each equation separately with Arellano-Bond is just fine here. In the absence of cross-equation constraints, you never 'need' to use a systems estimator. Endogeneity is something different, meaning that Z depends on the X or the y. Nicola At 02.33 28/05/2008 -0400, "ozlem.onaran@wu-wien.ac.at" wrote: >is there anyone with eyperience about estimating two equations as a >system (e.g. an employment and a wage equation) using panel data and a >dynamic estimation technique? i could estimate each equation with >xtdpdsys or xtabond, but is there a way of estimating both equations as >a system with stata? >best >ozlem * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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