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st: issues with xtabond2-Across equation restrictions
From
"Abdalla, Ahmed" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: issues with xtabond2-Across equation restrictions
Date
Wed, 22 Jan 2014 17:05:22 +0000
Dear Statalist
As far as I know, the only possible way to test across-equations restrictions (restrictions on coefficients among some equations) is -probably, to estimate the system as seemingly unrelated regressions in Stata using -sureg-However, seemingly unrelated regressions are inconsistent when lagged dependent variables are included in the RHS (i.e. dynamic models)
In this case, Stata has the command xtabond2 (or xtabond) that run Arellano-Bond dynamic panel GMM estimation.
My inquiries are:
Can I test across equations restrictions after running Arellano-Bond dynamic panel GMM estimation in Stata ?
Is there any other commands in Stata that can test across equations restrictions in a system of dynamic models?
Thanks
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