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From |
Fardad Zand <[email protected]> |

To |
Kit Baum <[email protected]> |

Subject |
st: Re: Simultaneous equations in panel data |

Date |
Fri, 13 Feb 2009 13:52:22 +0100 |

Dear Kit, Thanks a lot for your time and reply. Indeed, you're right. Sorry for the inconvenience. Kind regards, Fardad On 2/11/09, Kit Baum <[email protected]> wrote: > Per the Statalist FAQ, questions from Statalist should lead to responses on > Statalist. > > (1) In a simultaneous equations model, this is obviously true; the whole > point is that y1 may be the LHS of one equation and on the RHS of others. > That by itself does not require systems estimation techniques. > > (2) To apply cross-equation constraints you need a systems estimator, and > the whole point is that a systems estimator for simultaneous equations of > panel data may be hard to find. > > (3) This is a FAQ; see various postings by Mark Schaffer and myself. There > is nothing wrong with estimating an equation using IV techniques where one > of the RHS endogenous variables is a dummy. IV yields consistent estimates. > > (4) Yes, limited info techniques are single-equation estimation methods. > > (5)You obviously have instruments if you have simultaneous equations. By > definition, if you write down the whole system, all the variables that do > not appear on the LHS of any equation are instruments for each equation in > the system. Some will be included instruments, some will be excluded > instruments. But if you cannot identify an equation via the order condition > for single-equation estimation, you cannot solve the problem with a systems > estimator. > > (6) sureg is not a solution for simultaneous equations problems. It presumes > that each equation is a proper OLS equation. > > (7) No. If you have a set of linear simultaneous equations, each of which > contains panel data with the potential for unobserved heterogeneity, the > right way to approach estimation IMHO is with xtivreg2, fe or xtivreg2, fd. > You could use xtivreg, re if it passed a Hausman test, but that is often > problematic. > > I don't think looking at the specifics would matter; if the setup is as > stated in my (7) then no matter what the equations/variables are, that is > likely to be the best way to go. > > > 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 10, 2009, at 10:00 , Fardad Zand wrote: > > > Dear Kit, > > > > Thank you very much for your kind support through replying to my question > posted on Statalist. > > > > To further clarify the issue, I would like to ask you a few follow-up > questions to find out the best approach to be followed: > > > > 1- You are referring to cross-equation correlations; I believe such > correlations do exist as the endogenous variables are scattered among the > different equations, sometimes as a dependent and sometimes as an > independent. Yet, I don't know really how the correlations are or will be > developed over time. Is there any way I can measure or estimate these > correlations? > > > > 2- In case I want to define the cross-equation constraints in Stata how > should I proceed? > > > > 3- Some of my dependent variables are contentious while others dummy. Does > this fact pose any additional constrained on the method to use? The > equations can have one or more endogenous variables. > > > > 4- You are referring to limited info techniques. If I understood it well, > you mean estimating the equations separately using panel data techniques > such as -xtreg. Right? > > > > 5- You are referring to -xtivreg(2). The problem is that I don't have > access to reliable and good exogenous instruments. Is there any remedy to > this? > > > > 6- You are also referring to -sureg. Is it a solution to my problem if I > rely on limited info. do I still need to know the cross-equation > correlations? What is the difference between using -sureg and 9 times (due > to 9 equations) -xtreg or -xtprobit? > > > > 7- Do you think something like -gllamm will work for me at all? > > > > I can send you the exact specification of my simultaneous equations set, > if that will help you to advice and guide me. > > > > I really appreciate your time and support in advance. > > > > My best wishes from Holland, > > Fardad > > > > -- > > ir. Fardad Zand > > Researcher & PhD Candidate > > MSc Management of Technology > > > > Department of Economics & Management of Innovation > > Faculty of Technology, Policy & Management > > Delft University of Technology > > > > Kruisstraat 30 > > 2611 MJ Delft > > the Netherlands > > > > Office: +31 15 278 42 73 (room C0.060) > > Mobile: +316 54 31 57 97 > > Email: [email protected] > > > > -- ir. Fardad Zand Researcher & PhD Candidate MSc Management of Technology Department of Economics & Management of Innovation Faculty of Technology, Policy & Management Delft University of Technology Kruisstraat 30 2611 MJ Delft the Netherlands Office: +31 15 278 42 73 (room C0.060) Mobile: +316 54 31 57 97 Email: [email protected] * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: Simultaneous equations in panel data***From:*David Greenberg <[email protected]>

**References**:**st: Re: Simultaneous equations in panel data***From:*Kit Baum <[email protected]>

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