Dear statalisters,
I use STATA 7 and have an unbalanced panel (357
observations,18 years)
I'm trying to run an instrumental variable panel
regression on the following system :
Y1 = a0 + a1*Y2 + a2*X1 + a3*X2 + e1 (1)
Y2 = b0 + b1*Y2,(t-1) + b2*X3 + b3*X4 + e2 (2)
Y1 and Y2 : endogenous;
Y2,(t-1) : lag of Y2;
X1 and X2 : exogenous;
X3 and X4 : instrumental.
I found evidence of panel heteroskedasticity using
xttest3 after xtreg, fe and autocorrelation in the
error series of (1).
I used xtgee to estimate the system :
xtgee Y2 Y2,(t-1) X3 X4, nolog robust
predict Y2_fit
xtgee Y1 Y2_fit X1 X2, nolog robust corr(ar1) force
But I'm not sure if this is correct. Is there any
simple way to estimate the system and correct for
panel hetrosckedasticity and autocorrelation in the
errors?
Thanks,
Houcem
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