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st: re: xtivreg

From   Kit Baum <>
Subject   st: re: xtivreg
Date   Sat, 1 May 2010 13:48:03 -0400

Linda said

I am trying to use xtivreg to estimate two-stage least squares  
simultaneous equations. I have two endogenous variables Y1 and Y2. Y1  
and Y2 are affected by different exogenous variables. Y1 is affected  
by X1, X2, X3 and Y2 is affected by X1, X4, X5.

Y1 = a0 + a1*Y2 + a2*X1 + a3*X2 + a4*X3
Y2 = b0 + b1*Y1 + b2*X1 + b3*X4 + b4*X5

xtivreg y1 (y2 = x4 x5) x1 x2 x3, fe
xtivreg y2 (y1 = x2 x3) x1 x4 x5, fe

The syntax is the same as it would be for a non-panel IV estimator. Just list the variables excluded from each equation within the parenthesized expression.

Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

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