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st: -reg3- command and first-stage estimations


From   <M.Sanchez-Sache@lse.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: -reg3- command and first-stage estimations
Date   Tue, 4 Sep 2007 23:10:45 +0100

Hi all
 
I'm using the -reg3- command because I want to simultaneously estimate some equations, since I expect the error term across these equations to be correlated. I'm also using instruments for the regressors, because I have an endogeneity problem. I use the option exog(varlist) and endog(varlist) to specify which are the endogenous regressors and which are the instruments. The dependent variable is y, the regressors are e and k and the instruments are w and d. Stata provides the first-stage estimation for the endongenous regressors (e,k). But, what I don't understand is why it also provides this first-stage estimation for the dependent variable (y). I had never seen that before. Is it something particular to seemlingly unrelated regressions? Or is something that I'm doing wrong in Stata?
 
Thanks in advance.
 
Marta.
 
 

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