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st: 2SLS with selected instruments only


From   Thu Phuong Pham <sas1980mm@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: 2SLS with selected instruments only
Date   Mon, 8 Mar 2010 17:26:36 +1100

Hi

I would like to ask you about the command to run 2SLS with instruments that
can selected. I know that STATA provides IVREGRESS to run 2sls but I have
the following problem. For example, when I put this command:

IVREGRESS 2sls dependent control1 control 2 (control 3 = instrument 1
instrument 2);

STATA automatically treats CONTROL 1 and CONTROL 2 as INSTRUMENT 3 and
INSTRUMENT 4; while in my regression, CONTROL 1 and CONTROL 2 can NOT be
instruments for CONTROL 3 even they are exogenous. I want to regress CONTROL
3 on INSTRUMENT 1 and INSTRUMENT 2 only; but I do not know how I can do it.

Could you please advise me how to solve it?

Moreover I would like to calculate Thompson(2009) Standard Errors that
clusters both firms and time,  for OLS fixed effect and for this 2SLS; could
you please advise me how I can do that? Is there any option for it?

I am working on balanced panel data

Thank you very much for your help.

 Best regards,

 Thu Phuong Pham

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