Dear Kit,
Thank you very much for the detailed reply! I do appreciate it.
It is really strange that STATA could not do a full GMM system estimate.
Gordon
On Tue, 11 Jan 2005 09:42:21 -0500, Kit Baum <[email protected]> wrote:
> You cannot assign instruments to regressors in any form of instrumental
> variables estimation. If you were to estimate these equations
> separately, X3 and X4 would also be instruments for the first equation,
> and X1 and X2 would also be instruments for the second equation.
> Presumably there are structural equations for each of the X's somewhere
> in your system which render them endogenous.
>
> If a systems estimator is to be used, you list all of the instruments
> (Z1-Z5 plus X1-X4) and specify the two equations as you have done. You
> can use reg3 with constraints to estimate this system -- it will not be
> full GMM, but it will allow you to do the systems estimation and apply
> the cross--equation constraints. At present I am not aware of a full
> GMM systems estimator for Stata.
>
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html
>
> On Jan 11, 2005, at 2:33 AM, Gordon wrote:
>
> > I wonder how to use STATA to estimate a multiple equation GMM like the
> > following:
> >
> >
> > Equation 1: Y1 = a1*X1+a2*X2. I have Z1, Z2 and Z5 as instruments for
> > X1 and X2
> >
> > Equation 2: Y2 = a1*X3+a2*X4. I have Z3 and Z4 as instruments for X3
> > and X4.
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
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* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
