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st: re: specifying different instruments...


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: specifying different instruments...
Date   Wed, 11 May 2005 18:57:41 -0400

Dongshu asks

I wonder if anyone knows how I can perform this in stata:

I want to instrument 3 different variables in the IV regression, for example,
use a1 and a2 for Var1; a3 for Var2; a4 for Var3, what's the stata command that
i can run?


There isn't one, because you can't do it. This is a FAQ that has been discussed at length in postings from Mark Schaffer and myself in recent months; please see the Statalist archives. The theory of instrumental variables regression does not include any such procedure, so it isn't an issue of what Stata can or cannot do. No program can sensibly do this.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

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