st: re: 2sls with multiple endogenous variables

[Kit Baum <baum@bc.edu>]

Ana said

I am trying to estimate a 2SLS model with two
endogenous variables (y2, y3) which have different
exogenous explanatory variables.  That is,
y2=f(z1,z2) and y3=f(z3,z4,z5).  Is there any Stata
command that will allow the estimation of this model?


No, this is a FAQ. 2SLS requires that you regress each endog on all  
of the instruments, included and exlcuded.

If you specify a full mulitple-equation model (e.g. 3SLS) you can  
specify the exclusion restrictions that apply to the RHS endogenous  
variables (as they are then LHS in each of  their own equations) but  
in a 2SLS/IV context, it cannot be done. Consistent estimation of  
2SLS requires that all instruments appear in each 'first stage'  
regression.

See the Stata FAQs.


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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