Dear Statalist members,

I am trying to use IV model with panel data (xtivreg) along with fixed effects (fe) and clustered errors. Thus, the sample Stata code is as following:


(1) xtivreg Y (X = Z), fe vce(cluster ID) first


Now, I want to check the lagged effects of the endogenous variable, L.X, on the dependent variable, Y, and also want to control for the endogeneity of the lagged endogenous variables with the lagged instrumental variables (L.Z). For example,


(2) Y = _const + _beta * X + _beta * L1.X + _beta * L2.X + .... + _beta * Ln.X + e

where

X = Z and
L1.X = L1.Z
L2.X = L2 Z
.....
Ln.X = Ln.Z


I thought about using 3SLS and other GMM-based dynamic linear panel regression models (xtabond, xtabond2, etc), but they focus more on including the lagged dependent variables into the regression model as an instrumental variable. Are there any other clear ways to use the lagged endogenous variables and their lagged endogenous variables in panel data setting?


Many thanks in advance,

Moon