Der Kit,
I used the example from Nicola so as to not introduce a whole different
example but to re-ask Nicola's question. In my particular case, my
equations didn't have a dynamic nature altogether, but they did have
endognous vars on the right hand sides (e.g. one equations dependent var
was the other's regressor and vice versa). I had, at the time, wanted to
use a "panel version" of reg3, i.e. use 3SLS to estimate a simultaneous
equation system, only that each of three equations wasn't a cross-section
(i.e. along the lines of y_i = a + b*x_i + e_i; consider the x_it a vector
of regressors) but rather panel (ie. y_it = a + b*x_it + e_it).
Is it correct then that there is no panel version of reg3, and one would
have to use a more "manual" approach in imposing the desired restrictions
on the parameter and error matrices?
Hewan
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