autoregressive panel data model

[tumrafael91]

Hello, I would like to find out weather it is possible to construct and estimate autoregressive panel data model using eviews, and if it is possible tell me please how to do... Thanks

[EViews Gareth]

What do you mean by an AR panel data model?

[tumrafael91]

I mean that I have a model
Y(t) = c0 + c1*X(t) +

VOLt = b0 + b2CPI + b3REP + b4EX + b5SMI + b6FIP +et
BASt = a0+ a1VOLt+ ut
then I have pooled panel data by country by days and factors
can eviews estimate this model?

[EViews Gareth]

I'm not sure I see the AR component of that model.

[tumrafael91]

some factors in the first equation are dependent on each other..... one factor cause another

[startz]

some factors in the first equation are dependent on each other..... one factor cause another

That has nothing to do with an AR model.

If you think the left hand side variable causes some of the right hand side variables you may wish to look into instrumental variable methods.

[tumrafael91]

I understood thanks, and my final question....
Can I use 2SLS having panel data observations

[startz]

sure

[tumrafael91]

So as I understood firstly I must create a workfile, import panel data, and the after that construct a system object.......am I right?

[startz]

You don't need a system object to use the TSLS command.

[tumrafael91]

but my model is a system of two simultanious equations, and I can t exlude one of them....it will make my model incomplete.....so can i follow the steps that I described above

[startz]

Perhaps you should show us what you've done and tell us where you've gotten stuck.