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st: RE: Re: 3SLS and HAC SEs
From
DE SOUZA Eric <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: Re: 3SLS and HAC SEs
Date
Tue, 29 Mar 2011 10:57:07 +0200
You cannot. Go through a text on instrumental variable estimation and you will see why.
Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Khabara
Sent: 28 March 2011 23:12
To: [email protected]
Subject: st: Re: 3SLS and HAC SEs
Ok, as pointed out by Kit Baum, this is indeed a 2SLS regression.
That said, I am still a bit confused about the correct syntax.
If I run "ivreg2 w (y z = a1 a2 a3 b1 b2 b3), kernel(tru) bw(12) robust", Stata assumes that y and z are instrumented with all the 6 "a" & "b"
variables. What I would like to estimate is a model in which y is only intsrumented with "a" variables, z - only with "b" ones.
How can I do this? Thank you!
--
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