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st: 2SL2 estimation with several instrumented variables


From   "Hans J. Baumgartner" <hbaumgartner@diw.de>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: 2SL2 estimation with several instrumented variables
Date   Wed, 30 Oct 2002 09:55:48 +0100

Hi,
I have a question concerning 2SL2 estimation with several instrumented
variables
 Is it possible to estimate the following system of equations with
Stata:
(1)     Xt =At+Bt
(2)     Xt-1=A-1+B-1
(3)     Yt= Ct+Dt
(4)     Yt-1= Ct-1+Dt-1
(5)     Z= Xt +Xt-1+Yt+Yt-1

I tried several ways using ivreg, but I did not get a result. The other
way
could be to estimate each equation separately and use the predicted
value in
equation 5. But I have no clue how to correct the error terms for
several
instrumented variables.
Thanks for you help
Peter
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