st: Re: simultaneous equations with fixed effects and robust standard errors

[Kit Baum <baum@bc.edu>]

ssc desc xtivreg2
ssc inst xtivreg2
xtivreg2 leverage (maturity = excluded insts) controlvars, fe robust

etc.  for 2d eqn.

You must specify some excluded insts. (the controlvars excluded from  
the first equation that appear in the second, for instance).


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Jun 9, 2007, at 2:33 AM, statalist-digest wrote:


> 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.
*
*   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/