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  • constrained panel-data system with fixed effects

    Dear Stata listers,

    I need to estimate the coefficients - wage ealsticities - for a system
    of two equations - female and male labor demand equations - and the
    constraints are: (i) cross-wage elasticities in the two equtions
    should be equal and (ii) the wage elasticities in each equation should
    add up to one. My data set includes a panel of 132094 firms over an
    eight-year period.
    If I pool the data, I can use the following method:

    constraint define 1 2 3 ...

    global eq1 (depvar indvars)
    global eq2 (depvar indvars)

    sureg $eq1 $eq2, const(1 2 3)

    However, if I want to use xt commands to control for fixed effects, I
    found the following SJ paper:
    Blackwell, J. Lloyd (2005) "Estimation and testing of fixed-effect
    panel-data systems" The Stata Journal 5, Number 2, pp. 202-207

    In this paper the commands XTPCSE and XTGLS are introduced to estimate
    a system of equations using panel data. From the example provided in
    the paper I understand that these commands are good for panels with
    small number of panel ids as the example introduces dummies to control
    for fixed effects. This is not possible in my case as I have 132094
    panel ids. I can use XTREG with FE option treating the data as
    suggested by the paper - putting the two equations data into one
    equation. However, I still need to address two issues: (i) the minor
    issue is to get rid of general constant term when XTREG, FE is used
    and instead introduce two separate constants for each panel - there is
    no [noconstant] option for XTREG; (ii) the major issue is to impose
    the constraints. I have all variables in log and would be grateful if
    someone could guide me on imposing them implicitly.

    Furthermore, there is another command, XTMIXED, which I am reading an
    SJ paper about it now:
    Marchenko, Yulia (2006) "Estimating variance components in Stata" The
    Stata Journal 6, Number 1, pp. 1-21

    It seems that I will face the same two issues I mentioned above, if I
    use this command.

    Any help would be much appreciated.

  • #2
    Wrong forum-this one is for trying out the special formatting capabilities of the Statalist forum, e.g. Latex expressions like \[\alpha = \frac{\beta}{\gamma}\] .Repost in the General forum.
    Last edited by Steve Samuels; 02 Oct 2014, 19:29.
    Steve Samuels
    Statistical Consulting
    [email protected]

    Stata 14.2

    Comment


    • #3
      Thanks for the note, Steve. It is already there:
      http://www.statalist.org/forums/foru...-fixed-effects

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