The closest I found was the command xtivreg but this only does 2SLS.
Thanks, I have used this before, but it doesn't work for panel regressions, i.e. a fixed effects regression with a sample of countries over a period of time.
Hi Sergio,
It is likely the case that - cmp - (SSC; SJ) will allow you to get something like a panel-fixed effects 3SLS. - cmp - is exceedingly flexible, accommodates instrumental variable estimation, multiple equations, and panel data (though you'll have to specify the fixed effects yourself).
You might try posting your question to statalist.org as I believe that David Roodman (the creator of the package) follows statalist and at the very least you could get some good suggestions - though you may have to give more details (it's currently not clear that - cmp - would fit either - it is simply my guess that it would).
- joe
Not sure if you solved this, since it's old, but reg3 works. To have fixed-effects, you just use i.country (or i.year or i.id). And to approximate robust standard errors, you can use the bootstrap prefix.
Thanks Christopher. Yes, I ended up using that same option.
Hi folks, on a slightly related question, is there a way to include a multilevel in reg3? One of my endogenous variables is the same for all of my individuals each time period. But, the dependent variable is related to that endogenous term. Thanks!
Does anybody know a package in R to run simultaneous equations models for panel data?Thank you
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