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.
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.
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:
But I still wonder is SAS provides a package for 2sls estimation using panel data?
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! 😞
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:
Best
Michele
Thank you Michele
I have a panel dataset. I don't think proc model can handle panel data structures.
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.
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