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From |
Jens Mehrhoff <JensMehrhoff@web.de> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Panel data - system of equations |

Date |
Thu, 04 Sep 2008 11:53:16 +0200 |

Hello everyone, I have a small N, large T panel data set and I would like to estimate the price elasticity of demand. My system reads: (1) p(i,t) = a0(i) + a1*p(i,t-1) + u(i,t) (2) q(i,t) = b0(i) + b1*p(i,t) + v(i,t) Hence, my question is: Which estimation procedure is appropriate, given that p(i,t) is endogeneous in equation (2) and depends on its own lag in equation (1)? Furthermore, are standard panel techniques applicable - my panel is NOT large N, small T but vice versa? I'm only interested in the parameter b1 (variables are in logs, thus b1 is the price elasticity of demand). Can I estimate (2) without respect to the endogeneity of p(i,t) with say xtreg? Many thanks in advance for your comments! _________________________________________________________________________ In 5 Schritten zur eigenen Homepage. Jetzt Domain sichern und gestalten! Nur 3,99 EUR/Monat! http://www.maildomain.web.de/?mc=021114 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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