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I'm working with unbalanced panel data using time and firms as IDs and would like to find out how to test for correlation between two panel equations that may be seemingly unrelated.

The second question is about any package that allows the use of a Heckman selection model for panel data in Stata.

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    $\begingroup$ Split this into two separate questions, please. $\endgroup$
    – StasK
    Commented Oct 16, 2014 at 4:19

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Don't know about Heckman, but I've heard there's an "mvtobit" package for extreme-valued censored data in Stata. http://fmwww.bc.edu/RePEc/bocode/m

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