Creation of variable to be used for Panel IV estimation

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Asbatronic
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Joined: Tue Jan 29, 2013 6:47 am

Creation of variable to be used for Panel IV estimation

Postby Asbatronic » Mon Dec 16, 2013 4:00 am

Hello,
I use EViews 7. I have panel data for 100 stocks and I want to regress spread on volumes. However spreads and volumes are correlated and hence endogeneity issues. I want to use an IV approach by instrumenting spread and volumes for firm 1 by using spreads and volumes for all firms except 1. How do I do that in Eviews?
Thanks in advance.
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