Dear all,

I would like to estimate a system of regression equations of the following
form:

y1 = a1 + b1 x1 + b2x2 + e1
y2 = a2 + c1 y1 + c2 x2 + c3 x3 + e2

Specifically the dependent variable in Equation 1 appears as an independent
variable in Equation 2. Additionally some independent variables that appear
in Equation 1 are also included in Equation 2.

I assume that I cannot estimate these two regressions separately using lm.
Is there an efficient way to estimate these equations?

Thanks very much in advance,

Michael



Michael Haenlein
Professor of Marketing
ESCP Europe
Paris, France

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