Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: urgent help on symultaneous dynamic equation and gmm

From   "sistoand80" <[email protected]>
To   "stata statta" <[email protected]>
Subject   st: urgent help on symultaneous dynamic equation and gmm
Date   Wed, 23 Mar 2005 15:22:12 +0100

Dear all,
I have a panel dataset and I need some suggestion to how i can estimate the following symultaneous equations with Stata, each of them contains a lag of dependent variable to instrument via gmm

(1) y(t) = y(t-1) + Z(t) + x(t-1) + e(t)
(1) x(t) = x(t-1) + Z(t) + y(t-1) + u(t)

y(t-1) in equation (1) and x(t-1) in equation (2) are endogenous variable and they need to be instrumented via gmm with different lags of each dependent variable in level (see dynamic panel model estimator "xtabond" and Arellano and Bond, 1991). Note that the vector of exogenous variable Z(t) are the same for equation (1) and (2). How i can solve this system? Is there any stata command to estimate symultaneously eq (1) and (2).

Thank you for your suggestions,

Andrea Sisto
Phd student
University of Eastern Piedmont

6X velocizzare la tua navigazione a 56k? 6X Web Accelerator di Libero!

*   For searches and help try:

© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index