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st: Gain from using iterative 3sls?


From   "Kevin Amess" <Kevin.Amess@nottingham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Gain from using iterative 3sls?
Date   Sat, 12 Nov 2005 22:01:40 +0000

I am using Stata 9 and am estimating a system of simultaneous equations using 3sls. I see it is possible to compute iterative 3sls , however, I am not sure what is to be gained from doing so. I only have an older version of Greene at home (i.e. 1993, second edition) but on page 612 it states:

"It is possible to iterate the 3SLS computation. However, unlike the seemingly unrelated regressions estimator, this does not provide the maximum likelihood estimator, nor does it improve the asymptotic efficiency."

This is all my version of Greene states on iterative 3SLS, therefore, I'm not sure what is to be gained from using it. What are the advantages and disadvantages from using 'iterative 3SLS' over '3SLS'.

Thanks in advance for any assistance.

Kevin


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