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st: multi-level model with recursive relationships

From   "Modena, Francesca" <>
To   "" <>
Subject   st: multi-level model with recursive relationships
Date   Sat, 23 Apr 2011 10:20:15 +0200

Dear Friends,
I want to estimate the following equations:

(1) Yijt_Dummy=a0 + a1*Xjt_Continuous + a2*Wijt_Some Exogenous Variables;

(2) Xjt_Continous=b0 + b1*Zjt_Some Exogenous Variables;
where i=1,....,N individuals
j=1,....,J provinces
t=1,...,T time

I  am interested in a1 but Xjt_Continuous is an endogenous variable. 

This suggests a multi-level model with recursive relationships, i.e. in which the outcome of equation (2) enters equation (1), while the other outcome does not affect the second equation. 

It seems that aML could estimate my specifications. Could someone give me some hints about how to estimate my model in STATA?


Dr. Francesca Modena
Research Fellow
Department of Economics
University of Trento
Via Inama 5, 38122 Trento - Italy
tel. +39-0461-282397
fax +39-0461-282222
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