Dear All, I have this dataset
Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input long id int year double(y x2 M s1)
     1 2007  20.86355730544056 20.070709584212867     .03100905957689772  .16699999999999998
     1 2008 11.884286110436795   20.5623785168263     .10716001530857362  .16760000000000003
     1 2009 15.396831291073772 20.889444461583178 -.00026477275957420885  .16760000000000003
     1 2010 12.674606585645568 21.183939830168082   .0028645014430721716               .1496
     1 2011  7.798093896806287   22.0220038544275   .0005779322651836184               .4216
     1 2012   5.92438022856718 22.467457519597037  -.0021623473996319974               .4216
     1 2013 18.159345197454517  23.07044181326833     .04668111089225921                .502
     1 2014 11.219940666911976 23.578470875363426   -.000504999495000505                .502
     1 2015 13.401104400787268 23.998332941464355     .00489366567573748  .49560000000000004
     1 2016 3.8606017220254194 24.050421910899388   .0021682375326341876  .49560000000000004
     1 2017  5.476403432147008 24.146681227174998   -.002630557591961706  .49560000000000004
  2142 2007  63.06112145838149  18.95891310318662     .04055041245789271  .10800000000000001
  2142 2008 15.816991728179921  19.74331003356647      .0712430269855754  .10800000000000001
  2142 2009 21.589891595952967 19.928132441367588    .025806101907034633  .10800000000000001
  2142 2010  13.63058496386767 20.007015829416993   -.044935240780952165             .137429
  2142 2011  5.541983110292218 20.393554096585895     -.0672304680176179               .1374
  2142 2012  5.964384553621666  20.70485947441874     .03762803465075045               .1374
  2142 2013  7.270442690045053 21.205282025625145     -.0318080402041151               .1374
  2142 2014  8.775317780549328  21.63355580016823    .026389167449100394               .1858
  2142 2015 23.125387039045485 22.107004434884146    .036623470323013996               .1858
  2142 2016 6.6566614272224935 22.522764448276085     .20248296569156954                  .2
  2142 2017  5.354221324727028 22.498207509834973     -.5942632723926985                  .2
  2807 2016 105.30963432033177 17.719944841743743    -.03792194862599558               .0436
  2807 2017 24427.320874665886 17.791221723075154   .0008812420764068541               .0436
  2839 2016                  . 18.644597463974602   -.014447867699125538                .091
  2839 2017 156.29679107174394 18.550124021372028    .004740182835126277               .0818
600000 2007 11.031779483386934 20.844986819457702     -.0387109513446651              .23573
600000 2008  9.538902527878694 21.308019119286463    .023755949964975275              .23573
600000 2009 13.049903072821037  21.51488466678638   .0009394953853543904              .21159
600000 2010  7.625957289954332  22.12162359579064    -.00456913964728451                  .2
600000 2011  4.899361601242174 22.627717777235336    -.03143240649133515                  .2
600000 2012  4.309398791592671  22.89186228993714   -.005246130978403428                  .2
600000 2013 10.970781128158656 23.355442405469447    -.03798543689320388                  .2
600000 2014  11.78658505520409 23.784130205438185    .047761824324324326                  .2
600000 2015 15.771658272732674 24.048229912608978     .05865050885346197                  .2
600000 2016 1.3091300302990245 24.429297349877913    .052386452550393085               .1953
600000 2017 1.5035242158523312  24.54273486076395    -.06903385331442494               .2157
600015 2007  42.63653924904593 19.927537289293024    -.02386371065755943  .10189999999999999
600015 2008 16.784307692562574 20.528223348144564     .02203249509024693               .1398
600015 2009 20.249015843669717 20.747406620585238   -.011666688016548812               .1398
600015 2010  8.125890277413985   21.0912865383281   .0038046205289055546               .1398
600015 2011  6.955284503641228  21.81367798616563  -.0015207805249618114               .2028
600015 2012  5.634500628699656  22.12093515612636   .0006654596456383134               .2028
600015 2013  6.945433070015414 22.565718420489983   -.003223518793114564               .2028
600015 2014  9.656057540329659 22.758232888524418    .010098207845530711               .2028
600015 2015 15.829419995606397 23.238701691769233    .003429717180244829               .2028
600015 2016  3.531713211058425 23.408115644878187   -.025005061753391376               .2028
600015 2017  2.876378808272564 23.635996863996997     .09210856368835599               .2028
600016 2007  24.14532902874711 21.595122642454303     .00697896948719341 .059000000000000004
600016 2008  6.261113946937662 22.218638793092538    .026099075129861902 .059000000000000004
600016 2009 11.881189297146543   22.2631392859946    .003633961017509085                   .
600016 2010  5.995953241437522   22.8381951715558  -.0002261420171867933                   .
600016 2011   5.62587942132972 23.438026803740062   -.009844249903315403                   .
600016 2012   4.64467034348545  23.74481204539338    .000313250495979952                   .
600016 2013  8.108066924150428 24.122995475333532   -.008733422669932073                   .
600016 2014  8.952772208460404  24.36712177416006    .027607698553777954                   .
600016 2015  13.29566877737227  24.65910302047381     .02864616562460125                   .
600016 2016  2.614698018469287 24.679516231949567    -.05533232194841937                   .
600016 2017  3.268038867645994 24.589077350569863     .03420918267153686                   .
600036 2007 15.233197747855803 22.585639085502457    .019418749589975727                   .
600036 2008  7.801662718076208 22.770184186920687   -.004487730354244247                   .
600036 2009 10.198761239938543 22.801831995590295    .024677817384151358                   .
600036 2010  5.010500572075512 23.150719911986325   -.002134347471768404                   .
600036 2011  3.466937640547998 23.472330014139235   .0013563262933540012                   .
600036 2012  2.760283745143323 23.705862211107263   .0027607836208229345                   .
600036 2013  4.517019711276435 24.096886450838333   -.011112829036372772                   .
600036 2014  5.156039409144525  24.52314984910326    .005495191707256151                   .
600036 2015  9.694824377616747 24.701432324872332    .022682615739942777                   .
600036 2016 1.3643117968882081  24.83192413380797    -.04025328630971465                   .
600036 2017 2.4012155889587525 24.882430130762717     .00530875732608511                   .
600901 2017                  .   19.9906973793824   -.005405682050324577                   .
600908 2016 138.14633609046018  19.00711093370236    -.02753169965377402                 .09
600908 2017  97.60141566106768  18.91071981652778   -.048094702875167684                 .09
600919 2016  87.91139522342793 22.484874470382305     .05664953264701989  .07730000000000001
600919 2017  24.48955927198102  22.47750064724107   -.058787763285028175  .07730000000000001
600926 2016   93.6568317177752   21.4475705411116     .16995441672191192                 .18
600926 2017  41.44486508192562 21.203759873949803     -.7182788633439295                 .18
601009 2007  51.81622137852137 18.000734639092865    -.13359216592530107  .12990000000000002
601009 2008 13.779094971927131 19.210876245646148     .14648875231542524               .1335
601009 2009  17.58528836095394    19.609004846413     -.0855551492419452               .1335
601009 2010 11.495204298559816  19.97804821799546   -.011796503838565441  .13419999999999999
601009 2011  6.423661658545375 20.409161757363194   .0073800316008891765  .13419999999999999
601009 2012  5.636160391645799 20.645709618727537    .004457877140609308               .1268
601009 2013  6.161597066469806 20.889009062809478   -.014375012415656308               .1273
601009 2014 12.856866267487279 21.393141831710096    .023032824679044283               .1273
601009 2015  25.44707037423505 21.902910189867242     .03976869528641211               .1487
601009 2016  6.570126195710012 22.064201103539748   -.009048480214282274               .1487
601009 2017  6.511436353528493 21.972844598373904    -.20043969864691086               .1487
601128 2016 149.83955873561032 19.513348733562868   -.007280154136735669                 .09
601128 2017  78.18881733706284 19.865104852570443   -.001847360513690288                 .09
601166 2007  28.60730142243888 21.140564113707807  -.0057824174702915156                .204
601166 2008  7.635447650446179 21.687906378432924   -.010924220943455323  .20800000000000002
601166 2009  7.703147222683664 21.859814423631516  -.0009981419538370037  .20800000000000002
601166 2010   7.16240229907976  22.29212368157696    .009431124522618125  .20829999999999999
601166 2011  6.358437719188061  22.90311816455816    -.01105598312302223  .21030000000000001
601166 2012  4.493440056605085 23.427776447750087    .009705958141266069  .21030000000000001
601166 2013  8.223608115622545 23.891353502982508   -.027510780275107803  .17859999999999998
601166 2014  9.415645740974767  24.02062006968587     .03431516936671576  .17859999999999998
601166 2015 18.974565808952185 24.194921682257128    .027206317867719643  .17859999999999998
601166 2016 2.8028533949668546  24.32200174120738    -.06913689325749628               .1822
601166 2017 3.8621293224005764 24.380112681479034   -.010773361046159176  .18780000000000002
601169 2007 43.679194593698156  19.50684588731872   -.008736941105914615               .1607
601169 2008 15.233164497013474  20.00780147023543     .08030171783544758               .1607
601169 2009  8.654593314731974  20.29264290805532    -.05155379317837891               .1607
601169 2010  7.985472319149085 20.686826930977215   -.008364761003259976               .1607
601169 2011  4.374765884798575  21.20119423212162   .0012094811247727333               .1607
601169 2012  3.504023237243923 21.706276833224504  -.0035485722433710658               .1364
601169 2013 4.7288256955392365 22.097352992385954   -.010719593704390594               .1364
601169 2014  6.490449803690431 22.287706383449777    .014700242873577912               .1364
601169 2015  20.37392533898665 22.686173562370296      .0084700586388675               .1364
601169 2016 3.2071325902381727  22.98492476332781    -.01802153657311834               .1364
601169 2017  2.287821889260383  23.08213674095105    -.00423683931786887               .1303
601229 2016   74.5596173576888 22.540830145539715     .14792778587237027                .133
601229 2017 25.918272465854916 22.556772632443217     -.3631731875105832                .133
601288 2010  35.59203617655491 24.554685977842457    .007586374029312906               .4003
601288 2011  7.736547784342334  24.95374257349309    .003353668536193381               .4012
601288 2012 2.6980870398531613 25.038671784278396    .019306695330425616               .4021
601288 2013 3.2142600026820216 25.144164566320914   -.012538279656581093               .4028
601288 2014  .8159600912749718 25.106828790877273    .010367110467383433               .4028
601288 2015 2.9250693637318927 25.136657893368792    .029235398895858918               .4003
601288 2016 .43101821087305003  25.23341080252539     .03877539932630664               .4003
601288 2017  .7542619459073507 25.012395627377668    -.09421486747474539               .4003
601328 2007  38.81396919714613 22.695678805867725   -.038224892204835034                   .
601328 2008   8.37743072384354  22.90221328948228    .011535764375876579                   .
601328 2009  5.136288755029135 23.156791469201053     .01105557578365496                   .
601328 2010   2.82843655025046 23.395965160745696  -.0018125191463290106                   .
601328 2011 1.6875360942497075 23.696189971174395    .015782120156640496                   .
601328 2012  1.526485513070366  23.76215338081433   -.012398248854230796                   .
601328 2013 2.4779325628713385 23.980130847718648    -.03145963080962521                   .
601328 2014  4.747276260483272 24.111175324281632     .06152797758764292                   .
601328 2015 12.426591796138077  24.27938502960917 -.00047881970941628885                   .
601328 2016 2.0580028354998277 24.328627803324974    -.03285982468847467                   .
601328 2017  2.203051034099572  24.42582627811621  -.0028433605409458064                   .
601398 2007  37.07527067100001 24.260857176846567  -.0015611659958531528                .353
601398 2008 10.537575212560576   24.5075009243771  -.0006387706813254042                .354
601398 2009 14.354859788907284 24.733268184067526   -.000780827212988017                .354
601398 2010  .4620633852742398 25.011531091805818   .0006505044421020931                .354
601398 2011 .18946417927932163 25.343817124972805  -.0010122574300175107                .354
601398 2012 .16388303804053386 25.387308522445448  -.0015543108035074636               .3546
601398 2013  .2649148808280302  25.52995544903198  -.0005742209039225752               .3533
601398 2014  .5212724662377562  25.60982584060693   .0024612177236631606  .35119999999999996
601398 2015 1.9313540578016095  25.68884100163607    .010067694080368717               .3471
601398 2016 .34256055932367474 25.699813355131777     .01493339448094989               .3471
601398 2017  .5825076528225572 25.662226094335775  -.0029222371812935074               .3471
601818 2010  71.91670362847869 22.272641169588862   -.036435053638917164  .48369999999999996
601818 2011 15.966343578100073  22.66532845086499    -.05764827021902313  .48369999999999996
601818 2012 2.8940385540218823 22.972344662417317     .00850973751058425  .48369999999999996
601818 2013 4.7595326542238015 23.428110907099672     -.0195858563205502  .41659999999999997
601818 2014  5.909115528088238 23.675934021029374    .044939159292035395  .41240000000000004
601818 2015 12.548694211043962  23.99287279822097   .0013862122595259831                   .
601818 2016 2.1338274814338125 24.059462368391152    .007009345794392523                   .
601818 2017 2.5740673494353374   24.1499360145816    -.08623580399228117                   .
601838 2017                  . 19.788574344701313   .0022270377305785263                   .
601939 2007  36.68407731919643 24.167299183727877    .009531109889792022               .5912
601939 2008    9.6984706213152  24.37252049627708    .021340212862416615  .48219999999999996
601939 2009 18.270972768595044  24.59569525971408    .008648770077501965   .5709000000000001
601939 2010  7.631382905194152  24.91491858163551    .012286067643726256                   .
601939 2011  3.954282203019897 25.189104987705523   -.008238953251612675                   .
601939 2012 3.0048638119198654  25.26130213674887  -.0034142209274697576                   .
601939 2013  3.653477999689085 25.370374194297558   -.006159295655488514                   .
601939 2014  9.532828264241386 25.410172679681228  -.0011522604897326143                   .
601939 2015 26.775520202398095 25.455332956122852    .014609893134573544                   .
601939 2016  8.978393381125798  25.49825474400468   -.006076019088683199                   .
601939 2017  8.716727619804557 25.492237130091077 -.00013135480163372533                   .
601988 2007  40.67064247570452 24.037015382748255                      .   .6748999999999999
601988 2008   8.49800998298189 24.410819412471675   -.008129331673658815   .6751999999999999
601988 2009  9.882748959015162 24.552189802204843    -.10830824028401036               .6753
601988 2010  .2958257999199854 24.721154563350883    .012006454494899309               .6755
601988 2011 .14937051651039346 24.892439539789162    .033510079113559806   .6759999999999999
601988 2012 .12460961410243201  24.97066047355174    .013420651173018513               .6772
601988 2013  .1950927776251374 25.131106406513272    .012367091931770297               .6772
601988 2014 1.1357082038888024 25.236759234362598    .015146897820517162               .6552
601988 2015  4.989699799284056  25.24950103484636    .001471432472954068               .6402
601988 2016  .6493288849544878 25.208119781419764    .009964629369033582               .6402
601988 2017  .8066573645608891  25.20842425549953    .012373909376925821               .6402
601997 2016  75.32061726086955  21.07389242641094   -.003335833740202937  .14400000000000002
601997 2017 27.299863488481147 21.069466314697046   -.006066907756059388  .14400000000000002
601998 2007  50.47874128422841  21.45563373065964    -.09794933655006031               .6233
601998 2008  8.405048857939603  21.83676673810827      .0490990990990991               .6233
601998 2009  20.98797659059319  22.16310096499433    -.03688186813186813               .6178
601998 2010   7.61656500911103 22.463030011056087    .001377473713209973               .6178
601998 2011  .7897565038439975  22.90221328948228     .02846582803786798               .6185
601998 2012  .5792881732952386  23.14007207403048   -.003345547235940736               .6185
601998 2013  1.077757458513984 23.545299270997333    .002316388448271521                   .
601998 2014 3.0075188587162676 23.954583934704498     .02559463501712742                   .
601998 2015 5.3236070454875595 24.297687969082524   -.012434115955917585                   .
601998 2016 1.2791136081734633 24.467579997948448   -.025558799597951466                   .
601998 2017 1.2062660925123472 24.570387588790858     .03344372405429358                   .
603323 2016 152.16963565022425  17.95904203103826                      .                .077
603323 2017 104.29894586944387 18.053637953441477  .00016779499781460546                .077
     .    .                  .                  .                      .                   .
end
and this simultaneous equations system
Code:
xtreg y x2 s1 c.x2#c.s1, fe robust 
xtreg M x2 s1 c.x2#c.s1, fe robust  
xtreg y x2 s1 M c.M#c.s1, fe robust
The purpose is to test whether the product of the coefficient on `x2' in the second equation and the coefficient on `c.M#c.s1' in the third equation is statistically significant? Any suggestions? Thanks.