Re: st: 3SLS with different instruments for different equations

[etanebay@yahoo.com]

Hi, thanks - I tried gmm specification for my model below by typing:

. gmm (Y1 - {b1}*Y2 - {b2}*Y3 - {b4}*X1 - {b5}*X2 - {b6}*X3 - {b0}) (Y2 - {b7}*Y1 - {b8}*X1 - {b9}*X2 - {b10}*X3 - {b11}*Z1 - {b12}) (Y3 - {b13}*Y1 - {b14}*X1 - {b15}*X2 - {b16}*X3 - {b17}*Z2 - {b18}), xtinstruments(X1 X2 X3, lag(0/1)) xtinstruments(2: Z1, lag(0/1)) xtinstruments(3: Z3, lag(0/1)) wmatrix(hac bartlett 1)

But I got an error message:

"Must specify winitial(xt xtspec) or winitial(matname) with XT-style instruments"

I tried searching "help winitial" but nothing came up. 

Can you please help with my gmm syntax?

Many thanks, May






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-----Original Message-----
From: Stas Kolenikov <skolenik@gmail.com>
Sender: owner-statalist@hsphsun2.harvard.edu
Date: Mon, 14 Mar 2011 13:10:41 
To: <statalist@hsphsun2.harvard.edu>
Reply-To: statalist@hsphsun2.harvard.eduSubject: Re: st: 3SLS with different instruments for different equations

I don't think that's doable within -3sls-. But if you have Stata11,
you can use -gmm- to specify different equations and different
instruments with them.

On Mon, Mar 14, 2011 at 12:21 PM,  <etanebay@yahoo.com> wrote:
> Hi, I'm having trouble specifying the following model in stata using 3sls. Can you help please?
>
> Y1 = b0 + b1*Y2 + b2*Y3 + b3*X1 + b4*X2
>
> Y2 = k0 + k1*Y1 + k2*IV1 + k3*X1 + k4*X2
>
> Y3 = j0 + j1*Y1 + j2*IV2 + j3*X1 + j4*X2
>
> Y1 is endogenous to Y2 and Y3. But Y2 and Y3 are not endogenous.
>
> IV1 is a good instrument for Y2, not Y3, but
> IV2 is a good instrument for Y3, not Y2.
>
> When I type
>
>  reg3 (Y1 Y2 Y3 X1 X2) (Y2 Y1 IV1 X1 X2) (Y3 Y1 IV2 X1 X2), first
>
> I get in the first-stage results for
> Y2 Y1 IV1 X1 X2 __and IV2__
>
> Y3 Y1 IV2 X1 X2 __and IV1__
>
> As a result, I get strange estimates that differ from the case when I have just Y2 or Y3 (not both) in equation 1 and used 2SLS.
>
> How do I specify in STATA that my 3SLS equation 2 should not have IV2, and equation 3 should not have IV1?
>
> Many thanks!!
>
> May
>
>
>
> ------------------
>
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>



-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

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