Re: st: reg3 or xt for simultaneous equation model with panel data and lagged effects?

[Rajiv Sabherwal <sabherwal@umsl.edu>]

Hello,

I had earlier sent the message below to statalist. However, a few  
minutes ago, it struck me that the equations I have may not be a  
"simultaneous equation model" at all. This is based partly on Kit  
Baum's message on http://www.stata.com/statalist/archive/2004-03/ 
msg01120.html.

In our model (given below), none of the endogeneous variables affect  
each other at that time. All the variables on the right-hand sides of  
all equations are either exogneous of lagged-endogeneous (i.e., pre- 
determined).

Therefore, it would seem that simple panel regressions, rather than  
simultaneous models, would be appropriate. Am I missing something?

Thanks, and best wishes,

Rajiv

On Feb 23, 2007, at 1:25 PM, Rajiv Sabherwal wrote:


> Hello,
>
> A PhD student and I are trying to test a model containing  
> simultaneous equations such as the following:
>
> y1(t) = a1 + b11*y1(t-1) + b12*y2(t-1) +b13*y3(t-1) + b14*y4(t-1) +  
> b15*y5(t-1) + b16*x1 + b17*x2
> y2(t) = a2 + b21*y2(t-1) + b23*y3(t-1) + b24*y4(t-1) + b25*y5(t-1)  
> + b26*x1 + b27*x2
> y3(t) = a3 + b31*x3 + b32*x4 +b33*x5
> y4(t) = a4 + b41*x6 + b42*x7
> y5(t) = a5 + b51*x8 + b52*x9
>
> We have panel data, with 5000 units observed at 50 periods each,  
> and some time-invariant exogeneous variables characterizing each  
> unit. None of the exogeneous variables vary over time, but all the  
> endogeneous variables do.
>
> We believe random effects would be appropriate as we also need to  
> study the effects of the time-invariant exogeneous variables. We  
> are contemplating using reg3 (I couldn't find an appropriate xt  
> command, as xtivreg and xtivreg2 seem to be for a single  
> endogeneous variable). Would reg3 be appropriate for this  
> situation? Also, how would we identify the panel variable in reg3?
>
> I have searched the internet and Stata discussion lists, but could  
> not find an answer. I did find the following paper, which uses  
> reg3, but with fixed effects and no time-invariant exogeneous  
> variables.
>
> Why Firms Want to Organize Efficiently and What Keeps Them from  
> Doing so: Inappropriate Governance, Performance, and Adaptation in  
> a Deregulated Industry, Jack A. Nickerson; Brian S. Silverman,  
> Administrative Science Quarterly, Vol. 48, No. 3. (Sep., 2003), pp.  
> 433-465.
>
> Please advise. Thanks a lot, and best wishes,
>
> Rajiv
>
> ----
> Rajiv Sabherwal, Ph.D.
> University of Missouri Curators Professor
> CCB 206, College of Business Administration
> University of Missouri, St. Louis
> 8001 Natural Bridge Road
> St. Louis, MO 63121
>
>
>
>
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