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st: 2sls robust or 3sls?


From   "Susaeta ,Andres" <asusaeta@ufl.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: 2sls robust or 3sls?
Date   Tue, 22 Sep 2009 18:15:38 -0400 (EDT)

Hello Stata members.

I'm dealing with a simultaneous equation system, three supply and 
three demand equations. As endogeneity is present, a instrumental 
variable method is required. I have 37 years of historical data.

- I'm in doubt to use 2sls (robust) or 3sls. I know that 3sls is 
more efficient than 2sls but because of the small number of 
observations it might not be good idea.

- 3sls doesnt allow the option robust. Is there any way to do so?

- when I use reg3 for the whole system together, the results are 
different if you I it equation by equation. Anyone know the reason 
or which way is more reasonable?

Thanks
Andres




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