Dear Stata Users,
I have serious problems developing a Stata program to estimate the
following model Rit=Bi1R1t+Bi2R2t+...+BikR1k+A1Bi1+A2Bi2+...+AkBik+eit.
Ordinarily, the model requires a two-step estimation procedure as
follows. First, the following model is estimated
Rit=Bi0+Bi1R1t+Bi2R2t+...+BikR1k+uit. This is a system of n (i = 1, 2,
..., n) equations. Next, the following model is estimated
Bi0=A1Bi1+A2Bi2+...+AkBik+ei. To avoid errors-in-variables problems, it
is necessary that the two steps be done jointly in one step. Thus, a
program is required to handle the estimation. Unfortunately, I have nil
programming knowledge. Suggestions will be highly appreciated. Thank you
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