Hello
I have estimated a panel fixed effects with both countries and year fixed effects:
xtreg y x1 x2 x3 x4 x5 temp01-temp20, robust fe
My estimation model has two endogenous explanatory variables x1 and x2. I have a potential instrumental variable for x1 (namely z1) and an instrumental variable for x2 (namely z2) furthermore both instrumental variables are time invariant .
I dont' find any commands in stata for my case (more than one endogenus variables, robust standard errors, fe).
Can I apply 2SLS by hand, correcting robust standard errors?
The commands I would use are the ones which follow:
reg x1 z1 x3 x4 x5 temp01-temp20, robust
predict ivx1,xb
reg x2 z2 x3 x4 x5 temp01-temp20, robust
predict ivz2,xb
reg y ivz1 ivz2 x3 x4 x5 temp01-temp20, robust
How can I correct robust standard errors?
Thanks
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