System of equation using panel data and gmm

[tinfah]

Dear Gareth,

How can I go about estimating a system of equations on panel data? Do I go into Object(system) first where I cannot see panel window and choose GMM; or
enter into estimate equation where I can see a panel window and choose GMM but I cannot estimate a system of equations in this.

Appreciate your reply. Thanks

[EViews Gareth]

EViews doesn't support panel GMM for systems.

[tinfah]

Thanks for the quick reply. Any suggestion for software that can do this.

[cel]

Hi
can you tell me why in Eviews the 3sls system estimator doesn't return a J-statistic relating to the Instruments; the GMM system estimator does this.
Thanks

[EViews Gareth]

No theoretical reason why it can't, it just hasn't been added to the output.

[cel]

Thanks for your reply. This highlightes that discriminating between different system estimators in eviews appears tricky:

FIML produces a loglik, but NLSUR doesn't.
GMM produces a J-stat, but 3sls doesn't.

Which statistical criterion/criteria would you then recommend to disriminate between estimating different nested systems a system - i.e., you estimate a system with 7 parameters and then a nested system with 5 parameters. Which one is better? The only thing i see is the Det Res Covar which i guess is part of the loglik calculation but not the full bit. I guess you could also do Wald parameter restriction estimates.