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

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: How to correct standard errors of a 2sls performed by |

Date |
Sat, 6 Feb 2010 07:39:51 -0500 |

On Feb 6, 2010, at 2:33 AM, John wrote: > What if the system is non-recursive (with feedback loops) and with > multiple equations, e.g., > > y = x1 + x2 + z > x1 = m1 + m2 + x2 + z > x2 = n1 + n2 + x1 + z > m1 = q1 + q2 + z > m2 = p1 + p2 + z > > Here one would need reg3, but how would one ensure consistency of > standard errors (in the presence of heteroskedasticity), apart from > bootstrapping (and Roodman's -cmp- would not here as it is only for > recursive systems)? No, you don't _need_ reg3. A systems estimator is never needed unless you want to impose constraints across equations on the coefficients. There is nothing wrong with limited-information (single-equation) estimation of each equation in turn. A systems estimator can provide efficiency; but on the other hand any misspecification means that every equation's coefficients can become inconsistent if one equation is flawed. Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.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/

**Follow-Ups**:**Re: st: Re: How to correct standard errors of a 2sls performed by***From:*John Antonakis <john.antonakis@unil.ch>

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