Re: st: Simultaneous equation with fixed effects and robust stderrors

[hzou@ln.edu.hk]

Dear Hinh,

You can try xtivreg2.

Joe

�?� Hinh Khieu <dhkhie2@uky.edu>:

> 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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