Have you tried gllamm from the ssc library?
Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University
home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
[email protected]
----- Original Message -----
From: [email protected]
Date: Saturday, June 9, 2007 3:34 am
Subject: Re: st: Simultaneous equation with fixed effects and robust std errors
To: [email protected]
> Dear Hinh,
>
> You can try xtivreg2.
>
> Joe
>
> �?� Hinh Khieu <[email protected]>:
>
> > Dear All;
> >
> > I would like to run simultaneous equations with fixed effects and
> > heteroskedasticity-consistent t-statistics and don't know what
> command to
> > use. My model is this:
> >
> > Eq 1: leverage = a0 + a1*maturity + a2*control variable (lots of more
> > control variable)
> >
> > Eq 2: maturity = b0 + b1*leverage + b2*control variable (lots of more
> > control variable)
> >
> > Leverage and maturity are jointly determined and need simultaneous eq.
> > regressions.
> > The fixed effects I would like to include are the firms' fixed effects.
> > The control variables in both equations are not the same, but do
> have some
> > overlaps. All control variables are exogenous variables.
> > The data are panel data.
> >
> > I checked -reg3-, but it does not have fixed effects and robust std
> errors.
> > I checked -xtivreg-, but this does not seem to provide the syntax to
> include
> > endogenous variable like -reg3-.
> >
> > I am novice in Stata (a SAS-converted STATA user)
> >
> > I'd greatly appreciate any suggestions.
> >
> > Thanks,
> > Hinh
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
>
>
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> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
