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st: gllamm or sureg for panel data multiple-equations model


From   "Dithmer, Jan" <jdithme@food-econ.uni-kiel.de>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: gllamm or sureg for panel data multiple-equations model
Date   Mon, 6 Feb 2012 14:38:57 +0100

Dear Statalisters,

this is a follow-up of a question I asked one week ago.
I want to estimate a system of equations with panel data, where there are several interrelationships between the variables.

(1) Y_it = a + bY_it-1 + cB_it + dC_it + eD_it + fE_it + error

(2) B_it = gY_it + hC_it + iF_it + error

(3) D_it = jB_it + kG_it + lH_it +error

(4) E_it = mB_it + nJ_it + error  

It was suggested that I may try gllamm, but then encountered that the sureg command for seemingly unrelated regression can be used with panel data in wide format.
Thus, I wondered why no one recommended to use sureg. Is it not suited for a model structure like the one stated above?


Thanks for any suggestions!

Best, Jan

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