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st: estimate supply and demand with short panel


From   "Dimitriy V. Masterov" <dvmaster@gmail.com>
To   Statalist <statalist@hsphsun2.harvard.edu>
Subject   st: estimate supply and demand with short panel
Date   Mon, 13 Sep 2010 16:27:16 -0400

I would like to estimate a system of supply-demand equations for 12
products produced by local branches of a firm. I have weekly total
sales data for each product for 145 markets over 243 time periods. I
also have several exogenous variables, and I am imposing the
restriction that the supply curve is perfectly inelastic.

My reading of the archives indicates that there is no panel 3SLS
routine in Stata, and that the usual approach is to estimate each
equation separately with xtivreg2. This will not be as efficient, but
should still be consistent. I am a little worried about doing this
given that I have a longish panel. Are there any alternatives to
xtivreg2?

Dimitriy Masterov
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