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st: Simultaneous equation with fixed effects and robust std errors


From   "Hinh Khieu" <[email protected]>
To   <[email protected]>
Subject   st: Simultaneous equation with fixed effects and robust std errors
Date   Fri, 8 Jun 2007 13:42:44 -0400

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

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