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st: Panel data simultaneous equations

From   TEWODAJ MOGUES <[email protected]>
To   Stata _ <[email protected]>
Subject   st: Panel data simultaneous equations
Date   Tue, 19 Jul 2005 17:54:45 -0400

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?

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