I have a panel (cross-section time-series) of firm data and I need to
implement the following empirical model, by two-stage least squares.
D_it = x_it z_it f_i u_it
H_it = D*_it x_it g_i w_it
where:
1) x_it - is a set of regressors (hopefully) significant to both
equations
2) z_it - is a set of regressors that are (hopefully) significant in
the determination of the first equation but not in the determination of
the second.
3) D*_it - is the set of estimated values of D_it, from the first
equation.
My problem is that the vector "x_it" is common to both equations! So, I
need to know how to set the model in Stata, with particular reference
to the implementation of instruments by ivreg (and/or ivreg2). I'm a
primer, and an example with the string to use would be of help for me.
Many thanks for your attention.
Regards,
Robert
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