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Re: st: simultaneous equations in panel data


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: simultaneous equations in panel data
Date   Thu, 5 Feb 2009 06:43:38 -0500

<>	
This is a common misconception about "full information" estimation techniques such as 3SLS and FIML. The only thing to be gained from applying a systems estimator is efficiency, and that will arise iff the cross-equation error correlations are important (as in -sureg-). (One can also apply cross-equation constraints, if that is of importance, but you didn't mention that). If some of your simultaneous equations contain more than one endogenous variable, then use a "limited information" estimator and estimate each equation separately. If each equation's estimates are consistent, you're all set. One down side of a "full information" estimator is that misspecification of any equation will pollute estimates of every equation. That won't happen with limited info techniques.

In your context you could use -xtivreg- or the user-written - xtivreg2-, which has better diagnostics for the class of xt models it implements.

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 Feb 5, 2009, at 02:33 , Fardad wrote:

Hi. I do have a set of 9 equations which should be simultaneously
estimated, since some of the equations' independent variables are
dependent for others. Yet, I don't deal with cross-section data but
panel data. That means all of my equations have both a firm and time
dimension.

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