Simultaneous equations

[Liyu He]

Hello,

I am doing accounting research. Recently I read a research paper using the generalized method of moments (GMM) to estimate the system of simultaneous equations for endogeneity issue. I need to do the same thing in my research but I don't know what the codes are. When I searched for information about GMM online, most articles mentioned xtabond2 command, but it doesn't seem that this is the correct command in this case.

The research paper I read mentioned the following:

"I use the generalized method of moments to estimate the system of simultaneous equations. The simultaneous equations are:

Eq(1) RSE = a₀ + a₁DIRSH + a₂lnSales + a₃Debt + a₄Salesgrowth + Year_dum + Industry_dum
Eq(2) DIRSH = b₀ + b₁RSE + b₂ProxyQ + b₃lnSales + b₄lnRem + b₅BoardSize + b₆BoardComp + Industry_dum
Eq(3) BoardSize = c₀ + c₁RSE + c₂DIRSH + c₃ProxyQ + c₄lnSales + c₅Debt + c₆Salesgrowth + c₇lnRem + Industry_dum
Eq(4) BoardComp = d₀ + d₁RSE + d₂DIRSH + d₃ProxyQ + d₄lnSales + d₅Debt + d₆Salesgrowth + d₇BoardSize + Inudstry_dum"

It is much appreciated if someone can advise what the codes are in order to run the above simultaneous equations in Stata.

Thank you very much.

Liyu

[Eric de Souza]

Try -reg3- (help reg3) or -sem- (help sem)
The syntax of reg3 is easier to learn. It implements 3SLS
-sem- uses maximum likelihood, if I'm not mistaken.
I will be busy the whole day and tomorrow. So further help may be provided by others.

[William Lisowski]

You might also find useful information by reviewing the links in the output of Stata's search gmm command, if you have not already done so.