If I may pick up a question below by Ozlem in May, that was only very partially answered by Kit/Nicola: Nicola's/Kit's response was an econometric one rather than a stata one. To follow up on this response:
What if the system, however, looks like this instead:
y(it)=b0*y(it-1) + b1*X(it) + b2*Z(it)
Z(it)=a0*Z(it-1) + a1*W(it) + a2*y(it)
In other words, what if the model *does* call for a systems approach: Is there a way in stata?
I have grappled with this once a couple years ago, and there was no response on the list which led me to believe that stata doesn't have a set of commands for systems estimations of panel data equations -- however, I got lots and lots of follow ups by other listers over the years to my private mail who had seen my question on the list, asking if I ever discovered an approach since then.
Since that was a long time ago, I am wondering if new versions of Stata have included this issue.
Thanks,
Hewan
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