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st: Simultaneous Equation Dynamic Panel Estimation


From   Laxmi B <laxmib923@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Simultaneous Equation Dynamic Panel Estimation
Date   Fri, 13 Apr 2012 18:28:24 -0400

I am trying to estimate a dynamic panel simultaneous equation model.
The model is as follows:

G (i,t) = b0 + b1*G (i,t-1) + b2*Q(i,t) + b3*D(i,t) + u(i) + e(i,t)
 Q(i,t) = d0 + d1*Q(i,t-1) + d2*G(i,t) + d3*D(i,t) + w(i) + v(i,t)

where D is a matrix of dummies. My panel is an unbalanced panel.

1. How might I do about estimating this in Stata?
2. Since there are lagged values, can I use xtivreg 2 and estimate
them separately?
3. Alternatively, if I want to use the Arellano/Bond procedures, how
do I account for the simultaneity?
4. How might I test is the system is identified?

Thank you
Laxme

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