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Re: st: Clustering standard errors with Simultaneus regressions.


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Clustering standard errors with Simultaneus regressions.
Date   Tue, 20 Sep 2011 17:37:50 +0200

I have not received Stata 12; if you have it, the sem command (using the maximum likelihood estimator) seems to be able to handle that. Just model your variables as observed.

See:

http://www.stata.com/stata12/structural-equation-modeling/

Otherwise, use gllamm.  Findit -gllamm-

Best regards,
John.

P.S. your system of equations is not identified. You need to have unique instruments for x or y to identify the causal effects you want.

__________________________________________

Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis

Associate Editor
The Leadership Quarterly
__________________________________________


On 20.09.2011 17:10, Fernando Rios Avila wrote:
> Dear Statalisters,
> I was wondering if anybody can help me with a problem i have encounter.
> Currently im running a simultaneous equation model that has the following form:
> X= a0+b0*Y+c0*Z
> Y=a1+b1*X+c1*Z
> where Z is my set of exogenous variables.
> This corresponds to information at the State level, but i wanted to
> cluster to information at the county level. The problem, however, is
> that i havent been able to find reference to include cluster when
> using the -reg3- command in stata.
> Does anyone know of an alternative for simultaneous equations with
> cluster errors?
> Thanks in advance.
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