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Re: st: simultaneous equations with panel data, endogenous regressors and


From   Agnese Romiti <romitiagnese@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: simultaneous equations with panel data, endogenous regressors and
Date   Fri, 6 Apr 2012 16:06:26 +0200

Dear Kit,

many thanks for your suggestion. I still have a question, though.
Since I have two simultaneous equations, I should control for the
dependency in the two error terms.
Does your suggestion control for the latter as well?

Thanks again

Best,

Agnese

2012/4/6 Christopher Baum <kit.baum@bc.edu>:
> <>
> I need to estimate two simultaneous equations with a panel (FE-linear
> model)  and two endogenous variables for which I have the appropriate
> instruments. On top of that my endogenous variables are at regional
> level, therefore I have to cluster the standard errors because the
> dependent variables are instead at individual level.
> I've looked up in the list but I haven't found any previous messages
> helping me to fix this issue.
>
> Mark Schaffer's -xtivreg2, fe- from SSC will do Panel IV FE with one- or two-way clustering in the VCE. It also requires -ivreg2- and -ranktest- from SSC.
>
> Kit
>
> Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
>                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
>   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html
>
>
>
>
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