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re: st: simultaneous equations for panel data


From   Christopher Baum <kit.baum@bc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   re: st: simultaneous equations for panel data
Date   Tue, 29 Jun 2010 19:16:30 -0400

<>	
How can I use stata to estimate a simultaneous equations model with panel data? 
For example:
 
yit  =  a0 + a1*xit + a2*zit + a3*x1it + a4*x2it + e1it
xit  =  b0 + b1*yit + b2*zit + b3*y1it           + e2it
zit  =  c0 + c1*xit + c2*yit + c3*x1it + c4*z1it + e3it
 
I have red on Nabble that xtivreg2 can help in this.
But when I look at its description, I understand that it only deals with single equation models. May be I am wrong.


You can, if the order conditions for identification are satisfied, estimate each of these equations separately using 
Mark Schaffer's -xtivreg2-. There is no need to estimate them as a system.


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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