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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 > * > * 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/ * * 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/

**References**:**st: Re: Simultaneous equations in panel data***From:*Kit Baum <baum@bc.edu>

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

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