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st: reg3 and restricting some IVs for reduced-form regressions


From   Ekrem Kalkan <kalkan.ekrem@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: reg3 and restricting some IVs for reduced-form regressions
Date   Thu, 10 Dec 2009 21:43:32 +0200

Hello Dear Stata users,

In a presentation prepared by C. Baum (see the site
http://fmwww.bc.edu/ec-c/s2009/771/DIWMar2008.beamer.pdf, page 38),

it is said that it is possible to restrict certain instruments to
enter certain first-stage regressions by specifying  a full
simultaneous system of equations and by using the command "reg3". As
far as I know in "reg3", all instruments specified in option exog( )
are used in reduced form regressions. Does anybody know how to do
Baum's suggestion ?
More concretely, I am currently estimating a demand system using AIDS
model. Prices (P1, P2 etc.) are assumed to be endogenous. I assume
instrument IV1 is correlated with P1, but I do not want to use IV1 for
P2, for example.

Thank you.

Ekrem Kalkan
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