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RE: st: 2 SLS


From   Cameron McIntosh <cnm100@hotmail.com>
To   STATA LIST <statalist@hsphsun2.harvard.edu>
Subject   RE: st: 2 SLS
Date   Sun, 2 Oct 2011 17:14:54 -0400

I would think that they'd all have to be examined simultaneously to ensure the right (unbiased) answers. Perhaps you could do that through an SEM (path model), using -cmp- or another similar module... and then test the independence constraints cov(X,e) = 0 for each X within that model?

Roodman, D. (2011). Fitting fully observed recursive mixed-process models with cmp. The Stata Journal, 11(2), 159-206.http://www.stata-journal.com/article.html?article=st0224http://ideas.repec.org/c/boc/bocode/s456882.html

Hausman, J.A. (1983). Specification and estimation of simultaneous equation models. In Z. Griliches & Intriligator, M.D. (Ed.), Handbook  of  Econometrics (vol I, pp. 391-448). North-Holland Publishing Company.http://pria.uran.ru/ebooks/Unsorted/07%20Hausman%20-%20Specification%20and%20Estimation%20of%20Simultaneous%20Equation%20Models.pdf

Cam
> From: ozdemirozgur@hotmail.com
> To: statalist@hsphsun2.harvard.edu
> Subject: st: 2 SLS
> Date: Sun, 2 Oct 2011 15:56:28 +0000
> 
> Hi,
> 
> I have a model which has 7 IVs to explain firm performance but I believe 4 of them are endogenous. e.g  assume that my endogeneous vars are a,b,c,d and I would like to test them with the instrumental vars A,B,C, and D. is there an easy way of testing appropriateness of instrumental variables and 2 SLS in one go rather than doing them one by one.
> thanks, Ozgur
> 
>  
> 
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