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