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Re: st: Simultaneous Equation Dynamic Panel Estimation


From   David Greenberg <dg4@nyu.edu>
To   statalist@hsphsun2.harvard.edu, laxmib923@gmail.com
Subject   Re: st: Simultaneous Equation Dynamic Panel Estimation
Date   Fri, 13 Apr 2012 18:39:17 -0400

Laxmi, you might think of using Stata's sem command to analyze the
equations using Structural Equation Modeling. YOu can see examples of
this approach in  my co-authored book, Ronald Kessler and David
Greenberg, LINEAR PANEL ANALYSIS (Academic Press, out of print). We
used LISREL In our work, but you should be able to translate our
set-ups into Stata without any problems. David Greenberg, Sociology
Department, New York University

On Fri, Apr 13, 2012 at 6:28 PM, Laxmi B <laxmib923@gmail.com> wrote:
> 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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