st: Re: GMM and systems of structural equations

["Rodrigo A. Alfaro" <raalfaroa@gmail.com>]

I did not get the question, but did you try -xtabond2-?

R

----- Original Message ----- 
From: "Fausto Araujo" <ytcfausto@hotmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Sunday, May 27, 2007 11:56 AM
Subject: st: GMM and systems of structural equations



>    Hi everyone,
>
>    I have this model:
>    y(t)=b0*y(t-1)+b1*X(t)+b2*Z(t)
>    Z(t)=a0*Z(t-1)+a1*W(t)
>
>    This model is a panel data with 5 thousands individuals in 10 years. If 
> this is not a system, I could estimate for arellano an bond, but the 
> problem arise when I need to use a systems endogenous equations. So, my 
> doubt is if is there a program which it permits to use a arellano and bond 
> and systems endogenous equations for panel estimation?
>     Could someone help in this subject?
>     I appreciate,
>     Fausto
>
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