Re: st: simultaneous equations in panel data

[Kit Baum <baum@bc.edu>]

<>	
This is a common misconception about "full information" estimation  
techniques such as 3SLS and FIML. The only thing to be gained from  
applying a systems estimator is efficiency, and that will arise iff  
the cross-equation error correlations are important (as in -sureg-).  
(One can also apply cross-equation constraints, if that is of  
importance, but you didn't mention that). If some of your simultaneous  
equations contain more than one endogenous variable, then use a  
"limited information" estimator and estimate each equation separately.  
If each equation's estimates are consistent, you're all set. One down  
side of a "full information" estimator is that misspecification of any  
equation will pollute estimates of every equation. That won't happen  
with limited info techniques.

In your context you could use -xtivreg- or the user-written - 
xtivreg2-, which has better diagnostics for the class of xt models it  
implements.

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


On Feb 5, 2009, at 02:33 , Fardad wrote:

> Hi. I do have a set of 9 equations which should be simultaneously
> estimated, since some of the equations' independent variables are
> dependent for others. Yet, I don't deal with cross-section data but
> panel data. That means all of my equations have both a firm and time
> dimension.

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