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st: Re: Request on 3SLS


From   "Song" <raravise@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Request on 3SLS
Date   Wed, 5 Mar 2008 09:58:55 -0600

I also tried to find GMM 3SLS, but couldn't. However, in my opinion, the difference between traditional 3SLS which can be estimated with REG3 (according to STATA Manual) and GMM 3SLS is not about the presence of heteroskedasticity. Both methods use an estimated covariance matrix to correct possible correlations among error terms. (Wooldridge, Econometric Analysis of Cross Section and Panel Data, p197).

Reo.

----- Original Message ----- From: "Sara Salomone" <sara.salomone@uclouvain.be>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, March 05, 2008 6:14 AM
Subject: st: Request on 3SLS



I was wondering if I can perform a 3SLS in presence of heteroskedasticity,
meaning any GMM estimation with the command REG3.

If yes, what is the STATA command I have to use?

Sara


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