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st: using reg3
I am trying to estimate an equation with several
y1 = x1 x2 x3 x4, where x1, x2, & x3 are endogenous.
In creating instrumental variables for the endogenous
vars, x1 and x2 have the same exogenous vars, but x3
has a separate set:
x1 x2 = x5 x6
x3 = x7 x8
I am not sure I am using reg3 correctly. I have
estimated the following system:
reg3 (y1 = x1 x2 x3 x4) (x1 x2 = x5 x6) (x3 = x7 x8)
Is this correct? Also, is there a problem with
including y1 in the equation predicting x1 & x2 if I
decide it is necessary?
Thanks for your help!
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