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re: st: panel data for structured system


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   re: st: panel data for structured system
Date   Sat, 30 Apr 2011 12:54:49 -0400

<>
Lin said

I am working on a panel data set about brand value and corporate risk. 
Literature suggests a structure system between these two so that "reg3" 
seems to be the command used to test my hypotheses.  Problem is reg3 is not 
for pannel data.  Is there anyone who can hlep?


Unless there are cross-equation constraints in this system of equations, there is no need to estimate them jointly. The only possible benefit is a gain in efficiency, which must be balanced against the possibility of specification error in one equation polluting both. Just use a panel data IV estimator
on each equation like xtivreg or xtivreg2 (from SSC). 

Kit

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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