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From |
John Antonakis <john.antonakis@unil.ch> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Sat, 06 Feb 2010 16:06:43 +0100 |

Hi Kit:

Thanks, John. ____________________________________________________

Department of Organizational Behavior University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 Faculty page: http://www.hec.unil.ch/people/jantonakis Personal page: http://www.hec.unil.ch/jantonakis ____________________________________________________ On 06.02.2010 14:47, Kit Baum wrote:

<>John writeshow does one do single-equationestimation with in the context of a non-recursive system. Again, hereis the example:Eq1: y = x1 + x2 + z Eq2: x1 = m1 + m2 + x2 + z Eq3: x2 = n1 + n2 + x1 + z Eq4: m1 = q1 + q2 + z Eq5: m2 = p1 + p2 + zThe predicted value of x2 enters in Eq. 2; however, the predicted valueof x1 enters in Eq. 3. So, how does one go about estimating thisnon-recursive model using a single-equation estimator?In the textbook example used to motivate 2SLS, we write down a demand equation and a supply equation, both of which contain Q and P along with demand shifters and supply shifters. How is that different from eq2-3? Q = b0 + b1 P + b2 Y + e P = g0 + g1 Q + g2 R + g3 T + v with Y=income, R=rainfall, T=temperature. Those who developed IV / 2SLS were able to consistently estimate these equations by limited-information (single-equation) before systems estimators were devised. For that matter LIML could be used to estimate these equations as well (in either -ivregress- or -ivreg2- from SSC). 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/

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**Follow-Ups**:**RE: st: re: How to correct standard errors of a 2sls performed by***From:*DE SOUZA Eric <eric.de_souza@coleurope.eu>

**References**:**st: re: How to correct standard errors of a 2sls performed by***From:*Kit Baum <baum@bc.edu>

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