Dear All:
Thank you all - Kit Baum and Robert Yaffee - very much for your prompt help. I'll try your suggestions.
Something else comes up in my model in anticipation of arguments on my research. I wonder if I can still use xtivreg2 if some dummies in my model now become endogenous as follows:
Eq 1: leverage = a0 + a1*maturity + a2*control variable (lots of more control variable)
Eq 2: maturity = b0 + b1*leverage + b2*Dummy endogenous (6 of them) + b3*control variable
The endogenous dummies are in equation 2 only. What I could think of doing is to follow Maddala (1983) as I spelled out in an biprobit thread. Briefly, I need to run probit of the dummies on all exog var in equation 2, get the predicted values for the dummies, plug the predicted values in eq. 2, and then use xtivreg2 to run eq.1 and eq.2 simultaneously.
Could anyone provide any comments on the method and the STATA feasibility on this model? I'd greatly appreciate.
Again, thanks for all the previous comments.
Regards,
Hinh
-----Original Message-----
From: Kit Baum <[email protected]>
To: [email protected]
Date: Sat, 9 Jun 2007 12:13:40 -0400
Subject: st: Re: simultaneous equations with fixed effects and robust standard errors
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.
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