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No answer, but I copy and paste a previous message by Kit Baum - sorry that I don't remember the source on Statalist percectly - since it may apply to your case:
y(it)=b0*y(it-1)+b1*X(it)+b2*Z(it)
Z(it)=a0*Z(it-1)+a1*W(it)
Estimation of each of these equations with Arellano-Bond would be perfectly appropriate. There are no cross-equation constraints. It is a common misconception that if you can write down a system of equations (in this case a recursive system) you need a systems estimator. Systems estimators potentially gain efficiency; they are not needed for consistency. "Limited information" estimation, that is, estimating each equation separately with Arellano-Bond is just fine here. In the absence of cross-equation constraints, you never 'need' to use a systems estimator. Endogeneity is something different, meaning that Z depends on the X or the y.
Nicola
At 02.33 28/05/2008 -0400, "[email protected]" wrote:
>is there anyone with eyperience about estimating two equations as a
>system (e.g. an employment and a wage equation) using panel data and a
>dynamic estimation technique? i could estimate each equation with
>xtdpdsys or xtabond, but is there a way of estimating both equations as
>a system with stata?
>best
>ozlem
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