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st: using reg3


From   James Avery <macavery@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: using reg3
Date   Sun, 23 Feb 2003 22:04:33 -0800 (PST)

Hi All.

I am trying to estimate an equation with several
endogenous variables:

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!

James Avery


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