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From |
Kit Baum <Baum@bc.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: re: 2sls robust or 3sls? |

Date |
Sun, 27 Sep 2009 10:20:52 -0400 |

<> Andres said 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?

Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html

An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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