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From |
Kit Baum <baum@bc.edu> |

To |
Fardad Zand <fardad.zand@gmail.com> |

Subject |
st: Re: Simultaneous equations in panel data |

Date |
Wed, 11 Feb 2009 09:20:30 -0500 |

(4) Yes, limited info techniques are single-equation estimation methods.

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 10, 2009, at 10:00 , Fardad Zand wrote:

Dear Kit,Thank you very much for your kind support through replying to myquestion posted on Statalist.To further clarify the issue, I would like to ask you a few follow-up questions to find out the best approach to be followed:1- You are referring to cross-equation correlations; I believe suchcorrelations do exist as the endogenous variables are scatteredamong the different equations, sometimes as a dependent andsometimes as an independent. Yet, I don't know really how thecorrelations are or will be developed over time. Is there any way Ican measure or estimate these correlations?2- In case I want to define the cross-equation constraints in Statahow should I proceed?3- Some of my dependent variables are contentious while othersdummy. Does this fact pose any additional constrained on the methodto use? The equations can have one or more endogenous variables.4- You are referring to limited info techniques. If I understood itwell, you mean estimating the equations separately using panel datatechniques such as -xtreg. Right?5- You are referring to -xtivreg(2). The problem is that I don'thave access to reliable and good exogenous instruments. Is there anyremedy to this?6- You are also referring to -sureg. Is it a solution to my problemif I rely on limited info. do I still need to know the cross-equation correlations? What is the difference between using -suregand 9 times (due to 9 equations) -xtreg or -xtprobit?7- Do you think something like -gllamm will work for me at all?I can send you the exact specification of my simultaneous equationsset, if that will help you to advice and guide me.I really appreciate your time and support in advance. My best wishes from Holland, Fardad -- ir. Fardad Zand Researcher & PhD Candidate MSc Management of Technology Department of Economics & Management of Innovation Faculty of Technology, Policy & Management Delft University of Technology Kruisstraat 30 2611 MJ Delft the Netherlands Office: +31 15 278 42 73 (room C0.060) Mobile: +316 54 31 57 97 Email: f.zand@tudelft.nl

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**Follow-Ups**:**st: Re: Simultaneous equations in panel data***From:*Fardad Zand <fardad.zand@gmail.com>

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