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Dear all,

I am not quick sure, whether this posts relate to rather to Data Manipulation or to Estimation.

I am trying to estimate a 3SLS from panel data (EVIEWS 7) where my cross-sections (firms) are divided into different groups (industries).
The idea is to estimate a 3SLS with a general variance-covariance structure of the error terms of firms from the same industry (group).

I am struggling though to create a system from my panel data with the brand specific X variable for one group like this:

System1 (industry 1);

X(brand a) = c + beta * y….
X(brand b) = c + beta * k…

System 2 (industry 2);

X(brand c) = c + beta * f…
….

Any suggestions on how to build / generate this data structure?

Thank you very much for your help!

The problem that you are going to have is that the system object does not provide a way to define general correlation structures amongst subsets of the equations in the system. All that is allowed is a general correlation between all of the equations.

The best you can do (using built-in EViews) is to estimate industry specific systems. This would certainly produce consistent results, though does not attain the efficiency that you would get by imposing cross-equation restrictions in the general model, and you would have to handle the multiple sets of coefficients estimates for restricted coefficients in your specification.

Thank you for the reply. This is also what I was planing to do.
I am struggling though to create exactly this System with my panel data structure?
Do I have to restructure my Data into a pooled form?

Thank you again.

I think so.