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st: RE: simultaneous equation model for panel data


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: simultaneous equation model for panel data
Date   Sat, 13 Feb 2010 17:20:18 -0000

Wael

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Jabr, Wael M
> Sent: 13 January 2010 17:53
> To: statalist@hsphsun2.harvard.edu
> Subject: st: simultaneous equation model for panel data
> 
> Hello,
>  
> I am researching the topic of estimating simultaneous 
> equation model for panel data.
> The model looks like this:
> Yi,t = bXi,t-1 + ei,t
> Ui,t = cZi,t-1 +ui,t
> Basically the two sets of panel equations need to be 
> estimated simultaneously.
>  
> Similar posts have been made to Statlist few years ago saying 
> that Stata has no such routines.
> Do you have updates on this issue.

The new -gmm- command may do what you need.  From the Stata 11 help
file:

Description

    gmm performs generalized method of moments (GMM) estimation.  With
the interactive version of the command, you
    enter the moment equations directly into the dialog box or on the
command line using substitutable expressions.
    The moment-evaluator program version gives you greater flexibility
in exchange for increased complexity; with
    this version, you write a program in an ado-file that calculates the
moments based on a vector of parameters
    passed to it.

    gmm can fit both single- and multiple-equation models, and it allows
moment equations of the form E{z_i u_i(b)} =
    0, where z_i is a vector of instruments and u_i(b) is often an
additive regression error term, as well as more
    general moment conditions of the form E{h_i(z_i;b)} = 0.  gmm works
with cross-sectional, time-series, and
    longitudinal (panel) data.

Might take a little while to set up, but it looks like it might do what
you need.

HTH and sorry not replying faster,
Mark

> Thank you for your help.
> Wael
>  
> 
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