Re: st: xtivreg2 or new Stata12 command sem?

[Stas Kolenikov <skolenik@gmail.com>]

-sem- does not support panel data, either. So don't rest your hope on
it. May be -gllamm- might help you, although it only runs random
effect multi-equation models.

On Mon, Jan 23, 2012 at 9:23 AM, Dithmer, Jan
<jdithme@food-econ.uni-kiel.de> wrote:
> Dear Statalisters,
>
> I want to estimate a system of equations with panel data, where there are several interrelationships between the variables.
> I estimated the first equation (1) with GMM using xtabond2, treating variable B as endogenous. However, I fear that I might lose
> some potential indirect effects that B has on some explanatory variables in (1). I would use the sureg command, but it does not support panel data. My intuition tells me that, when B positively influences D and E, and they themselves have a positive coefficient in (1), the effect of B on Y in (1) should be greater than I have estimated, or I am wrong here?
>
> (1) Y_it = a + bY_it-1 + cB_it + dC_it + eD_it + fE_it + error
>
> (2) B_it = gY_it + hC_it + iF_it + error
>
> (3) D_it = jB_it + kG_it+lH_it +error
>
> (4) E_it = mB_it + nJ_it + error
>
> So, my question is: how can I estimate the whole system of equations to capture all indirect effects? Might this be a task for the Structural equation modeling "sem" command in Stata12 (which I not have)
> Or should I just estimate the equations separately using xtabond2 for the first and xtivreg2 for the rest? But then I already have the result of the first equation, in which I am mainly interested in...
>
> Thanks for any suggestions!
>
> Best, Jan
>
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-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
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