[Limdep Nlogit List] System of regression equations

[William Greene]

Same answer.  The second equation is not identified without an 
instrumental variable.  There is no way to estimate its parameters
as the model stands now.

----- Original Message -----
From: "Andreas Drichoutis" <adrihout at aua.gr>
To: "Limdep and Nlogit Mailing List" <limdep at limdep.itls.usyd.edu.au>
Sent: Wednesday, October 24, 2007 7:39:33 AM (GMT-0500) America/New_York
Subject: RE: [Limdep Nlogit List] System of regression equations

Let me be more specific. The equations are:
 
Y1= a'X1+e
Y2= b1'X1 + b2'X2 + b3*Y1+v
 
where a,b1,b2 are vector of parameters, X1 is a vector of 11 variables and
X2 is a vector of 6 variables. The disturbances are correlated. How do we go
about it?
 
 
 
-----Original Message-----
From: limdep-bounces at limdep.itls.usyd.edu.au
[mailto:limdep-bounces at limdep.itls.usyd.edu.au] On Behalf Of William Greene
Sent: Monday, October 22, 2007 10:13 PM
To: Limdep and Nlogit Mailing List
Subject: Re: [Limdep Nlogit List] System of regression equations
 
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
 
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-- 
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
 
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-- 
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