[Limdep Nlogit List] System of regression equations

[William Greene]

Andreas.  The missing disturbances in your equations tell the story.
If they are uncorrelated, then the system should be fit by OLS (with
REGRESS), ignoring the simultaneity. (See, Greene, Econometric Analysis
on the "Fully Recursive Model.")  If they are correlated, then the
second equation is not identified, and there is no way to estimate
the second equation using the data contained in the system alone. 
You would need another instrumental variable.
/Bill Greene

----- Original Message -----
From: "Andreas Drichoutis" <adrihout at aua.gr>
To: "Limdep and Nlogit Mailing List" <limdep at limdep.itls.usyd.edu.au>
Sent: Monday, October 22, 2007 1:56:51 PM (GMT-0500) America/New_York
Subject: [Limdep Nlogit List] System of regression equations

This may be a naive question. What is the appropriate way to estimate a
system of equations of the below form in Limdep, if Y1 and Y2 are both
continuous? 
 
Y1= a0 + a1*X1
Y2= b0 + b1*X1 + b2*X2 + b3*Y1
 
 
Thanks,
Andreas Drichoutis
 
_______________________________________________
Limdep site list
Limdep at limdep.itls.usyd.edu.au
http://limdep.itls.usyd.edu.au


-- 
Professor William Greene
Department of Economics
Stern School of Business
New York University
44 West 4th St., Rm. 7-78
New York, NY   10012
http://www.stern.nyu.edu/~wgreene
212.998.0876