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| From | "Abdalla, Ahmed" <ahmed.abdalla@kcl.ac.uk> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | st: issues with xtabond2-Across equation restrictions |
| Date | Wed, 22 Jan 2014 17:05:22 +0000 |
Dear Statalist
As far as I know, the only possible way to test across-equations restrictions (restrictions on coefficients among some equations) is -probably, to estimate the system as seemingly unrelated regressions in Stata using -sureg-However, seemingly unrelated regressions are inconsistent when lagged dependent variables are included in the RHS (i.e. dynamic models)
In this case, Stata has the command xtabond2 (or xtabond) that run Arellano-Bond dynamic panel GMM estimation.
My inquiries are:
Can I test across equations restrictions after running Arellano-Bond dynamic panel GMM estimation in Stata ?
Is there any other commands in Stata that can test across equations restrictions in a system of dynamic models?
Thanks
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