st: Re: reg3 or xt...

[Kit Baum <baum@bc.edu>]

You are not missing anything. None of the equations contain  
endogenous variables, from the looks of it. But as some of the  
equations are dynamic equations, it is likely that neither fixed  
effects nor random effects (nor OLS first differences) will work. You  
need to use an instrumental variables technique--either something  
like the Anderson-Hsiao estimator of xtivreg, or depending on the  
length of your panels, a dynamic panel data estimator such as xtabond  
(or better yet xtabond2).

There is no reason to consider this model as a system unless you are  
trying to test or impose cross-equation constraints.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Feb 24, 2007, at 2:33 AM, Rajiv wrote:


> 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
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