st: orthogonal regression

[alvaro <aa314@cam.ac.uk>]

Dear colleagues,

Thank you so much for such illustrated and fast set of responses to my query.

I would like to ask a bit more about the application with STATA.

I have two endogenous variables y1 and y2, and exogenous ones, x.
With these variables the following models would find theoretical support:
y1=beta0+beta1*y2+beta2*x1+beta3*x2+epsilon1
y2=alpha0+alpha1*y1+alpha2*x1+alpha3*x2+epsilon2

 I also have to iv variables for each of the endogenous variables 
(ie: the ranks of each endogenous variable: iv1, for y1 and iv2 for y2).

In order to apply orthogonal regressions using the option liml, I 
imagine I should define the instruments for each endogenous variable.

My question is how to define these? I'm expecting alpha1=beta1 in 
orthogonal regressions. For this to happen I should use the same ivs 
in both models but this doesn't make much sense with my current instruments?

Thank you very much again.

All the best,

alvaro

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