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st: simultaneous equations in dynamic panel data

From   Berkan Guney <[email protected]>
To   [email protected]
Subject   st: simultaneous equations in dynamic panel data
Date   Mon, 25 Jan 2010 21:17:38 +0200


Is it possible to estimate dynamic panel data of simultaneous
equations with STATA?
If yes, how?

As far as I know, for static panel data, it is possible with Baltagi's
EC3sls. I checked website of STATA, I could not be sure whether it has
EC3sls or not in STATA ?

Is there any other method for simulataneous equation estimation for
panel data (static and/or dynamic) in STATA?

If not, do you have any suggestion any methodogy (or software) for
solving dynamic panel triangular simultaneous equations system in

Y(t,i)= Y(t-1,i)+X1(t,i)+X2(t,i)+X3(t,i) + P(t,i) + Z(t,i)
P(t,i)= P(t-1,i) + X3(t,i)+X4(t,i)+X5(t,i)+ Y(t,i) + Z(t,i)
Z(t,i)= Y(t,i)+ P(t,i) + X5(t,i)+X6(t,i)

Thanks in advance

Berkan Guney
Yeditepe University
Financial Economics

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