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Re: st: Panel data with simultaneous equations


From   David Greenberg <dg4@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panel data with simultaneous equations
Date   Fri, 10 Feb 2012 16:27:36 -0500

When you have joint dependence, you need an estimation procedure that
deals properly with endogeneity. Instrumental variable approaches may
be useful for you. Look at xtivreg2, and at the Arellano-Bond
estimator and its variants (xtabond2). David Greenberg, Sociology
Department, NYU.

On Fri, Feb 10, 2012 at 11:55 AM, Ayman Farahat <ayman.farahat@yahoo.com> wrote:
>
>  Hello;
>
> I am working on an application to model the impact of social media on overall online media consumption.
>
> To that end, i have a panel of users.
> I am looking at the following specification :
>
> social_{i,t} =  f_1( nonsocial_{i,t}, x_{i,t})
> nonsocial_{i,t} =  f_2( social_{i,t}, x_{i,t})
>
> where :
> social_{i,t} i the social media of subject ``i" at time ``t"
> nonsocial_{i,t} i the non-social media of subject ``i" at time ``t"
> x_{i,t} are the  co-variates of subject ``i" at time ``t".  i could also have time fixed co-variates.
>
>
> I am looking at a linear model, where both f_1, f_2 are linear.
>
> Is there a way i can estimate such a model using stata?
>
> Thanks
> Ayman
>
>
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