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st: Re: 3SLS and fixed effects

Subject   st: Re: 3SLS and fixed effects
Date   Thu, 23 Jul 2009 17:13:24 +0200 (CEST)

Dear Statlist,
After adding the sector dummies I have problems of endogeneity.
Should I suppose that this fact invalidate the model? Or should I conclude
that I need more information to control for sector effects?
Is it better to work with other command tha reg3?
Thanks again

Nothing stops you from creating the dummies and adding them to the
regression, especially as you only have 8 (or 7) of them...

Kit Baum   |   Boston College Economics & DIW Berlin   |

An Introduction to Stata Programming |
   An Introduction to Modern Econometrics Using Stata  |

On Jul 10, 2009, at 02:33 , Alejandra wrote:

I am hoping someone can help me. I would like to perform 3SLS on

cross-section data. I wish to obtain fixed effects estimates. I need to
controll the sector's effect (8 dummies, one for each sector).

TI = b0 +  b1 FE + b2 TR EMPLOYEES + b3 AGE + b4 JOINT FOREIGN+  b5
IN-HOUSE+ b6 EXPORT SHARE+ è Sectors? Dummies
EXSH = b0 + b1 TI+ b2 TRAINED +  b3 SKILED + b4 SIZE +b5 IN HOUSE + b6

The Reg3 command in Stata does not appear to allow this. Could you please
give some advice?

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