st: Simultaneous equations & Panel data

[Steve J <classxcredit@yahoo.com>]

I need to handle simultaneous equations within a panel data setting.  I can 
locate no software that can handle this procedure.  Has anyone had any luck 
finding a way to do this.  

Here are more details on my needs and my model set up:
---------------------------------------------------------
Properties of Model/Data:
---------------------------------------------------------
1) Simultaneous Equations ==> multiple endogenous variables.
2) Dynamic ==> each equation possibly contains lags of the dependent variable.
3) Contemporaneous ==> each equation contains other time-t endogenous variables 
as explanatory variables.
4) Unbalanced Panel, with large cross-section (N big) and small time-series (T 
small).
5) Possible heteroskedasticity and serial correlation in the errors.
6) Possible fixed effects.
7) Possible slowly varying endogenous variable.
8) Small sample size robust standard errors.

Unfortunately, I need a program that can handle all the above in one procedure. 
 At this point, code that would handle the simultaneous equations in a panel 
data setting only would be welcome.

Model:
-------------
x_t = a0              + a2*x_{t-1} + a3*y_t + a4*z_t + a5*z_{t-1} + 
Control_Variable + e1
y_t = b0 + b1*x_t + b2*x_{t-1} +           + b4*z_t + b5*z_{t-1} + 
Control_Variable + e2
z_t = c0 + c1*x_t + c2*x_{t-1} + c3*y_t              + c5*z_{t-1} + 
Control_Variable + e3

Thanks in advance for for help!

Warmest regards,

Steve


      

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