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st: Simultaneous equations in panel data


From   David Greenberg <dg4@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Simultaneous equations in panel data
Date   Fri, 13 Feb 2009 13:56:48 -0500

It is a fairly easy matter in packages for structural equation modeling (e.g. LISREL, AMOS, MPlus, EQS, etc.) to impose cross-equation constraints on panel model. Ronald Kessler discuss this in our co-authored book, LINEAR PANEL ANALYSIS: MODELS OF QUANTITATIVE CHANGE (Academic Press, 1981, out of print) and in our article, "Equilibrium and Identification in Linear Panel Models," Sociological Methods and Research 10 (1982) 435-51, reprinted in Hubert M. Blalock, Jr. (ed.), Causal Models in Panel and Experimental Designs (Aldine, 1984).
--- David Greenberg, Sociology Department, New York University


----- Original Message -----
From: Fardad Zand <fardad.zand@gmail.com>
Date: Friday, February 13, 2009 7:54 am
Subject: st: Re: Simultaneous equations in panel data
To: Kit Baum <baum@bc.edu>
Cc: statalist@hsphsun2.harvard.edu


> 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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