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st: Seemingly unrelated regressions and dynamic panel data methods


From   "Abdalla, Ahmed" <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: Seemingly unrelated regressions and dynamic panel data methods
Date   Wed, 15 Jan 2014 18:37:02 +0000

Dear Statlist

I am estimating a system of "dynamic" equations in a "panel data" set such that:
x1 t= a x1t-1 + b x2 t-1 + c x3 t-1 + error1 t
x2 t= e x1t-1 + f x2 t-1 +  g x3 t-1 + error2 t
x3 t= h x1t-1 + i x2 t-1 + j x3 t-1 + error3 t

 My main objective is to test restrictions  on the coefficients (across equations) that are motivated by theory.


My inquires are:
1- Is it appropriate to use Stata command -sureg- in a panel data and when my panel data is unbalanced as in most research in my field? I know that sureg is more attractive than pooled OLS or FE (Baum 2006) and It worth using it to test the restrictions across equations.

2- Stata command-xtsur- can be used in unbalanced panel data, but it assumes a one-way random effect? what about if a fixed effect exist, is there any Stata command to deal with that?


3- I know that xtabond2 is used in dynamic panel data models. Can I test across equations-restrictions after Stata command -xtabond2 ? Does it estimate the system as seemingly unrelated regressions ?


Do Stata commands sureg and xtsur account for dynamic panel data bias resulting from the inclusion of the lagged depended variables in the RHS ? 
Is there any way in Stata to test across equations-restrictions rather than running a SUR ?

Many thanks







   
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