Hello List,
I did an extensive search on statalist before posting this question,
and unfortunately I didn't find a solution as yet, so I thought I'll
try posting myself.
I want to estimate a simultaneous equations model in which each
structural equation has a panel data structure. Here is an example of
the type of system I mean:
y1_it = beta0_i + beta * X1_it + u1_it
y2_it = gamma0_i + gamma * X2_it + u2_it
.
.
.
yG_it = theta0_i + theta * XG_it + uG_it
I.e. there are G structural equations, each having T number of time
periods. So yg_it is a scalar and Xg_it is a K_g x 1 vector, and this
vector may include yh_it (where h refers to some structural equation
different from g). So I want to *jointly* estimate beta,
gamma,...,theta, say by 3SLS, just like I would in the more
conventional cross-section system:
y1_i = beta * X1_i + u1_i
y2_i = gamma * X2_i + u2_i
.
.
yG_i = theta * XG_i + uG_i
in which yg_i is a scalar. The latter I would estimate, say, using
reg3, that's straightforward. And estimating a single-equation panel
equation such as
y_it = beta * X_it + u_it
is also straightforward, e.g. using xtreg, xtivreg etc. depending on
the particular estimation desired. However, when I have a *combination*
of panel data and system of equations I am at a loss how best to
approach this in STATA. Doing this equation by equation of course
defeats the purpose of estimating as a system.
Has anyone else faced this, and if (as is my impression) there is no
existing command for this, is there anyone out there who has written a
stata programme for estimating a panel simultaneous equations model of
this sort?
Thanks,
Tewodaj
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