[Limdep Nlogit List] simultaneous equation

ZOU Hong hzou at ln.edu.hk
Tue May 2 19:03:38 EST 2006

Dear All,

I am estimating a system of simultaneous equation consisting of three endogenous variables (Y1, Y2, and Y3), my setup is as follows: 



CREATE; _YX=Y2*x11 $ an interaction between Y2 and exogenous x11

NAMELIST; E_Y1 =one, Y2, Y3,_YX, x11,x12, …

                    ; E_Y2 =one, Y1, Y3, x21,x22, …

    ; E_Y3 =one,Y1,Y2,x31, x32,…

    ; EXOG =x11,x12,…,x21,x22,…,x31,x32,… $



2SLS; Lhs =Y1; Rhs =E_Y1; Inst = EXOG  $

2SLS; Lhs =Y2; Rhs =E_Y2; Inst = EXOG  $

2SLS; Lhs =Y3; Rhs =E_Y3; Inst = EXOG  $



In Equation Y1(i.e., E_Y1), an explanatory variable is Y2 * X11. If I set up the program as above, can LIMDEP correctly handle the interaction term (i.e., using the predicted Y2 in constructing the interaction term) in 2SLS? If not, how should I set up the program?

Many suggestions are appreciated


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