Dear Sirs:
Is there any way to estimate simultaneous equations that include lagged
endogenous variables using Stata? For example, the following equations:
P_ij = U_ij + U_i(j-1) + P_i(j-1) + X(1), and
U_ij = P_ij + P_i(j-1) + X(2),
where i indexes subject, j indexes time, U and P are endogenous variables,
and X(1) and X(2) are overlapping sets of exogenous variables. I makes no
difference to me whether I estimate the equations as a system or
individually. However, since I am working with repeated measures on
subjects, I would prefer a method that can account for clustering or random
effects. I think that -xtabond- and -xtabond2- may be capable of doing what
I want to do, but I am not sure. Any suggestions would be appreciated.
Thanks.
--
James Shaw
College of Pharmacy
The University of Arizona
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