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
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?