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st: Reg3 Question


From   Nomoreno <nomorenook@netscape.net>
To   statalist@hsphsun2.harvard.edu
Subject   st: Reg3 Question
Date   Sun, 28 Mar 2004 13:58:33 -0500

Hi all,

I have a question regarding 3SLS in STATA, using reg3 command. I hope you can share me your thoughts.

I am trying to replicate the results of a paper, in which it specifies only V2, V3, V6 as exogenous variables.

I try the following command in STATA
reg3 (V1 V1_lag V2 V3 V4) (V5 V1 V6 V4)
And I found that STATA treats V1 and V5 as endogenous variables and the rest as exogenous ones. Note that V1_Lag is lagged variable for V1, and V4 = V1_Lag - V5_Lag

In order to explicitly specify the exogenous variables, as the authors did in their paper, I try the following command
reg3 (V1 V1_lag V2 V3 V4) (V5 V1 V6 V4) endog(V1 V1_Lag V4 V5) exog(V2 V3 V6)

However, STATA tells me that "Equation is not identified -- does not meet order conditions". I am wondering how can I get around by only specifying V2, V3 and V6 as exogenous variables?

Thank you very much and I appreciate your help.



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