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st: Arellano and Bond estimation with System of Equations
From
"Alok R. Saboo" <[email protected]>
To
[email protected]
Subject
st: Arellano and Bond estimation with System of Equations
Date
Thu, 8 Aug 2013 19:11:50 -0400
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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