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Re: st: Opinion on 2sls and 3sls


From   Olga Lyashevskaya <olgalyashevskaya@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Opinion on 2sls and 3sls
Date   Mon, 13 Aug 2007 14:01:01 -0700 (PDT)

Hi Belen,

If you suspect the contemporaneous correlation of
disturbances across your  
equations go for 3SLS. Furthermore, assuming that your
system is correctly  
specified, 3SLS is more efficient (or at least as
efficient) than 2SLS.

I personally prefer 3SLS. You can also try to estimate
both and to check  
the efficiency of your estimates. However, be careful
with your model  
specification. If one of the equations is
misspecified, 3SLS may be  
inferior to 2SLS.


Kind regards,
Olga

On Mon, 13 Aug 2007 18:38:00 +0200, Belen Dias
<belendp9@yahoo.com> wrote:

> Hi all,
> I am doing a simultaneous equation model and 2sls is
> the method most of the literature on the subject
uses.
> However, I feel that 3sls may be more appropriate.
> Comparing the two methods (2sls, 3sls) what are
their
> strengths and weaknesses? (Note: I am not trying to
> learn the method or leach on statalist users, I just
> would like to know what practitioners and stata
users
> think about this).
>
>
>
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