st: Arellano and Bond estimation with System of Equations

["Alok R. Saboo" <arsaboo@gmail.com>]

Hi,

I need to estimate the following model:

y(t)=b0 + b1*y(t-1) + b2*X(t) + b3*Z(t-1)
Z(t)=a0 + a1*Z(t-1) + a2*y(t-1) + a3*W(t)

To account for the lagged dependent variables, I need to use the
Arellano-Bond estimation. Further, I need to estimate the two
equations jointly (system of equations). Does Stata (or any other
program) offers a way to carry out the Arellano-Bond estimation with
system of equations (SUREG)?

Kindly advice.

Regards,

Alok R. Saboo
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