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From |
Christopher Baum <kit.baum@bc.edu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
re: st: 3 simultaneous equations |

Date |
Mon, 12 Sep 2011 15:58:14 -0400 |

<> I am trying to estimate two-stage least squares simultaneous equations. I have three endogenous variables Y1, Y2, and Y3 and one instrument for each (X1,X2,X3) Y1 = a0 + a1*Y2 + a2*Y3+a3*X1 + a4*X4 + a5*X5 Y2 = b0 + b1*Y1 + b2*Y3 + b3*X2 + b4*X4 + b4*X5 Y3 = c0 + c1*Y1 + c2*Y2 + c3*X3 + c4*X4 + c4*X5 I tried to use xtivreg2 but I am not sure how it works with three equations. I would really apprecite any hint. Mark Schaffer's -xtivreg2- (SSC), like official -xtivreg-, is a single-equation estimator for panel data. That is not what you have here. You should use the -reg3- command if you are satisfied with the assumption of i.i.d. errors. As a recent posting indicated, you could also use the -gmm- command to estimate this sort of system with robust or cluster-robust VCE. The -reg3- command cannot do that. Each of the above equations is overidentified, so you can (and should) examine the overid test stats. Baum et al.'s -overid- on SSC will do that for -reg3-. The -gmm- command will produce a Hansen J statistic, which is a test of the overid restrictions. Kit 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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