Is there a way to run system instrumental variables (SIV), as defined
by Wooldridge, with Stata?
My problem is simplified since all of my equations are just
identified, so that a GMM estimator, including 3SLS, would do.
However, the reg3 command performs "traditional" 3SLS (that is,
reduced form regression + GLS), not GMM 3SLS. Clues?
Thanks!
Giulio Zanella
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Giulio Zanella
Assistant Professor of Economics
Department of Economics - University of Siena
Piazza San Francesco, 7 - 53100 Siena, Italy
www.econ-pol.unisi.it/~zanella
[email protected]
Phone: +39 0577 232769
Fax: +39 0577 232661
Skype: giuliozanella
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