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Dear Stata Users,
I have serious problems developing a Stata program to estimate the 
following model Rit=Bi1R1t+Bi2R2t+...+BikR1k+A1Bi1+A2Bi2+...+AkBik+eit. 
Ordinarily, the model requires a two-step estimation procedure as 
follows. First, the following model is estimated 
Rit=Bi0+Bi1R1t+Bi2R2t+...+BikR1k+uit. This is a system of n (i = 1, 2, 
..., n) equations. Next, the following model is estimated 
Bi0=A1Bi1+A2Bi2+...+AkBik+ei. To avoid errors-in-variables problems, it 
is necessary that the two steps be done jointly in one step. Thus, a 
program is required to handle the estimation. Unfortunately, I have nil 
programming knowledge. Suggestions will be highly appreciated. Thank you


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