请教关于工具变量中异方差已经面板数据联立方程

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请教大家几个问题：

1、对于这样一个面板数据的联立方程应该如何用3sls进行系统分析呢？xtivreg只能进行2sls分析。如果是截面数据可以用reg3命令，但是面板里面好像没有xtreg3。
y1=x1+x2+y2
y2=x1+x3+y2
2、对于面板的联立方程回归出来的结果，如何判断是否有异方差和自相关？如果存在，该如何解决？如果是单方程的，可以改用xtgls，p(h)解决异方差问题。但是对于联立方程组怎么办？也没有xtivgls这个命令。
3、如果存在工具变量和被工具变量的交乘项该怎么处理？
y1=x1+x2+y2*x3
y2=x1+x3+y2

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关键词：工具变量 面板数据 联立方程 异方差 XTIVREG 工具 方差 方程 面板 变量

Stata doesn't have a built-in routine for panel data simultaneous
equations. Maybe someone out there has written their own program for
this, but when I did -findit panel simultaneous- nothing came up.

If you can transform or recast your model into a non-panel framework
(e.g., by transforming into deviations from means or using explicit
dummies for observational units) you could use -reg3- to do 3-stage
least squares.

The alternative is to estimate the system equation-by-equation using
-xtreg- or -xtabond- or -xtivreg- or whatever. It won't be efficient
(in the way that a system estimator like -reg3- is) but your results
will be consistent, and will have the usual advantage over system
estimation in that if one equation is misspecified, it won't spill
over and contaminate the estimation results for the other equation.

Hope this helps.

What do you mean by not efficient?

xtsur