Hi,
and what about using Seemingly Unrelated Regressions?
.sureg (equation1) (equation2)
Bjorn
----- Original Message -----
From: "Mark Schaffer" <[email protected]>
To: <[email protected]>
Sent: Thursday, March 18, 2004 12:12 PM
Subject: Re: st: How to estimate simultaneous equation model for panel data
> Kim,
>
> Stata doesn't have a built-in routine for panel data simultaneous
> equations. Maybe someone out there has written their own program for
> this, but when I did -findit panel simultaneous- nothing came up.
>
> If you can transform or recast your model into a non-panel framework
> (e.g., by transforming into deviations from means or using explicit
> dummies for observational units) you could use -reg3- to do 3-stage
> least squares.
>
> The alternative is to estimate the system equation-by-equation using
> -xtreg- or -xtabond- or -xtivreg- or whatever. It won't be efficient
> (in the way that a system estimator like -reg3- is) but your results
> will be consistent, and will have the usual advantage over system
> estimation in that if one equation is misspecified, it won't spill
> over and contaminate the estimation results for the other equation.
>
> Hope this helps.
>
> --Mark
>
> Subject: st: How to estimate simultaneous equation model for panel
data
> Date sent: Thu, 18 Mar 2004 14:21:14 +0900
> From: ������ <[email protected]>
> To: <[email protected]>
> Send reply to: [email protected]
>
> > Dear Stata-listers:
> >
> > I need to estimate simultaneous equation model for panel data.(two
> > linear regression models with correlated error is enough). I searched
> > help and statalist archive, but could not locate any information. How
> > can I estimate such a model on Stata? I appreciate any information.
> > Thanks in advance
> >
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
>
>
> Prof. Mark E. Schaffer
> Director
> Centre for Economic Reform and Transformation
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS UK
> 44-131-451-3494 direct
> 44-131-451-3008 fax
> 44-131-451-3485 CERT administrator
> http://www.som.hw.ac.uk/cert
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
