Dear Statalist:
Could you please tell me whether xtmixed can be applied to a simultaneous
equations system (including two equations) in a way like two-stage-least
square method?
That is to first regress the endogenous variable in the right-side against
all exogenous variables in the two equations buy using xtmixed. The second
step is to obtain the predicted values of the aforementioned endogenous
variable. The third step is to regress the endogenous variable in the left
side with the obtained predicted values at the second step, and the relevant
exogenous variables in each equation by using xtmixed again.
Thanks in advance,
Zhong Liu
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