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Re: st: How to Estimate a two-equation Dynamic Simultaneous Model


From   [email protected]
To   [email protected]
Subject   Re: st: How to Estimate a two-equation Dynamic Simultaneous Model
Date   Fri, 20 Apr 2007 09:33:46 +0800

Dear Austin,

Many thanks for the advice.

Grace


Quoting Austin Nichols <[email protected]>:

Grace--

You may be interested in -xtabond2-
(-findit xtabond2- to install) and
http://www.cgdev.org/files/11619_file_HowtoDoxtabond8_with_foreword_1_2_07.pdf


On 4/18/07, [email protected] <[email protected]> wrote:
Dear statalist,

I have to estimate a two-equation dynamic simultaneous  model for panel
data. My model is

y(i,t)=a1+b1*y(i,t-1)+c1*x(i,t)+d1*z1(i,t)+u(i,t)
x(i,t)=a2+b2*x(i,t-1)+c2*y(i,t)+d2*z2(i,t)+v(i,t)

z1,z2 are exogenous variables, u,v are disturbances.

Is there any stata module to estimate it?

Thanks,
Grace

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Wanbin PAN, Grace
Research Assistant
Department of Finance and Insurance
Lingnan University
Email: [email protected]
Office: (852) 2616 8180
Mobile:(852) 6493 5037



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