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st: 3sls or 2sls-robust


From   "Susaeta ,Andres" <asusaeta@ufl.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: 3sls or 2sls-robust
Date   Wed, 23 Sep 2009 18:41:15 -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 doesn't 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

--
Susaeta Larrain,Andres


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