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st: Re: Simultaneous equations in panel data


From   Fardad Zand <fardad.zand@gmail.com>
To   Kit Baum <baum@bc.edu>
Subject   st: Re: Simultaneous equations in panel data
Date   Fri, 13 Feb 2009 13:52:22 +0100

Dear Kit,

Thanks a lot for your time and reply. Indeed, you're right. Sorry for
the inconvenience.

Kind regards,
Fardad

On 2/11/09, Kit Baum <baum@bc.edu> wrote:
> Per the Statalist FAQ, questions from Statalist should lead to responses on
> Statalist.
>
> (1) In a simultaneous equations model, this is obviously true; the whole
> point is that y1 may be the LHS of one equation and on the RHS of others.
> That by itself does not require systems estimation techniques.
>
> (2) To apply cross-equation constraints you need a systems estimator, and
> the whole point is that a systems estimator for simultaneous equations of
> panel data may be hard to find.
>
> (3) This is a FAQ; see various postings by Mark Schaffer and myself. There
> is nothing wrong with estimating an equation using IV techniques where one
> of the RHS endogenous variables is a dummy. IV yields consistent estimates.
>
> (4) Yes, limited info techniques are single-equation estimation methods.
>
> (5)You obviously have instruments if you have simultaneous equations. By
> definition, if you write down the whole system, all the variables that do
> not appear on the LHS of any equation are instruments for each equation in
> the system. Some will be included instruments, some will be excluded
> instruments. But if you cannot identify an equation via the order condition
> for single-equation estimation, you cannot solve the problem with a systems
> estimator.
>
> (6) sureg is not a solution for simultaneous equations problems. It presumes
> that each equation is a proper OLS equation.
>
> (7) No. If you have a set of linear simultaneous equations, each of which
> contains panel data with the potential for unobserved heterogeneity, the
> right way to approach estimation IMHO is with xtivreg2, fe or xtivreg2, fd.
> You could use xtivreg, re if it passed a Hausman test, but that is often
> problematic.
>
> I don't think looking at the specifics would matter; if the setup is as
> stated in my (7) then no matter what the equations/variables are, that is
> likely to be the best way to go.
>
>
> 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 my question
> 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 such
> correlations do exist as the endogenous variables are scattered among the
> different equations, sometimes as a dependent and sometimes as an
> independent. Yet, I don't know really how the correlations are or will be
> developed over time. Is there any way I can measure or estimate these
> correlations?
> >
> > 2- In case I want to define the cross-equation constraints in Stata how
> should I proceed?
> >
> > 3- Some of my dependent variables are contentious while others dummy. Does
> this fact pose any additional constrained on the method to use? The
> equations can have one or more endogenous variables.
> >
> > 4- You are referring to limited info techniques. If I understood it well,
> you mean estimating the equations separately using panel data techniques
> such as -xtreg. Right?
> >
> > 5- You are referring to -xtivreg(2). The problem is that I don't have
> access to reliable and good exogenous instruments. Is there any remedy to
> this?
> >
> > 6- You are also referring to -sureg. Is it a solution to my problem if I
> rely on limited info. do I still need to know the cross-equation
> correlations? What is the difference between using -sureg and 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 equations set,
> 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
> >
>
>


-- 
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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