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st: Re: endogeneity in seemingly unrelated regression


From   "Rao, James" <James.Rao@agr.uni-goettingen.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: endogeneity in seemingly unrelated regression
Date   Mon, 29 Mar 2010 15:16:27 +0200

Dear Stata listers,

I am estimating a system of equations using the sureg command but I happen to
have an endogenous variable among the regressors in all the equations in the
system.

y1 = a + endogenous_X + b1x1 + b2X2
y2 = endogenous_X + b3Z1 
y3 = endogenous_X + b4Z2

I was thinking of using the "cmp" command to address the endogeneity of the
"endogenous_x" but am not sure if this is the right approach. Anyone with an
idea of how this problem could be resolved!

Sincerely,
==================================================
Rao E.O. James (Msc)
Research Associate/PhD Student

Department of Agricultural Economics and Rural Development
Georg-August University of Göttingen
Platz der Gottinger Sieben 5
37073 Göttingen, Germany.
 
Tell:+49-551-394443 (Office)
E-mail: jimrao2@yahoo.co.uk;  James.Rao@agr.uni-goettingen.de

Courage is not the absence of fear but the triumph over it ... so fear not to
fear ... but strive to overcome fear!



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