topic Re: Simultaneous Equation Model (PROC SYSLIN) using Panel Data in SAS Forecasting and Econometrics

Simultaneous Equation Model (PROC SYSLIN) using Panel Data

niam — Tue, 31 Oct 2017 20:34:00 GMT

Hello,

I have a panel dataset, and I would like to run a simultaneous equation model using time and individual fixed effects. It seems that PROC SYSLIN does not support panel data. Is there a solution for this?

My model is:

Y=f(X,Z1)

X=f(Y,Z2)

Both endogenous variables (X and Y) and exogenous variables (Z1 and Z2) are measured for a group of individuals over a period of time.

Thanks for you help in advance.

Re: Simultaneous Equation Model (PROC SYSLIN) using Panel Data

niam — Wed, 01 Nov 2017 04:08:20 GMT

Ok, I figured that instead of running a simultaneous equation model, I can write the reduced form of the equations and use a 2sls method to estimate the model.

The method is described here:

http://econ.ucsb.edu/~doug/140a/Lectures/18%20Simultaneous%20Equation%20Models%20Two%20Stage%20Least%20Squares%20Estimation.pdf

But I still wonder is SAS provides a package for 2sls estimation using panel data?

Re: Simultaneous Equation Model (PROC SYSLIN) using Panel Data

niam — Mon, 06 Nov 2017 02:13:06 GMT

Hi,

Stata has a command for handing this issue. It is xtivreg

Does SAS have similar capabilities?

Please, help! I do not want to migrate to SAS after being a user for 8 years! 😞

Re: Simultaneous Equation Model (PROC SYSLIN) using Panel Data

mitrov — Mon, 20 Nov 2017 16:16:53 GMT

Hi,

The MODEL procedure SAS/ETS can estimate simultaneous equations models using 2sls and other methods.

This is an example of a non-linear 2sls estimation:

http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_model_sect004.htm

Best

Michele

Re: Simultaneous Equation Model (PROC SYSLIN) using Panel Data

niam — Mon, 20 Nov 2017 19:32:34 GMT

Thank you Michele

I have a panel dataset. I don't think proc model can handle panel data structures.

Re: Simultaneous Equation Model (PROC SYSLIN) using Panel Data

mitrov — Mon, 20 Nov 2017 21:00:59 GMT

Have you looked at the PANEL procedure? There are several estimation methods. E.g., HT is a 2sls. I am not familiar with Stata, I wouldn't know the equivalent of xtivreg.

http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_panel_syntax12.htm