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st: xtivreg2 and correlation of residuals across equations


From   "Erasmo Giambona" <e.giambona@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: xtivreg2 and correlation of residuals across equations
Date   Mon, 20 Aug 2007 12:18:13 +0200

Dear Statalisters,
I am estimating the following model for a panel dataset.

yit= a +b1x1+b2x2+b3x3 ..... uit

where x1 and x2 are endogenous and chosen simultaneously to yi. So my
model also include:

x1 = instruments1 + e1
x2= instruments2 + e2.

At the moment I am using xtivreg2 with robust and cluster. However, I
would like to take into account that ui, e1 and e2 are correlated.
Could I use the GMM option after xtivreg2 to take into account this
correlation of residual across equations?

Any suggestion would be appreaciated.
Erasmo
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