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Re: st: 3sls-fe regression for panel data


From   Sami Alameen <samialameen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: 3sls-fe regression for panel data
Date   Mon, 31 Oct 2011 19:53:53 +0200

What u have is at most a SUR model.

Since V1 doesn't enter the 2nd equation and/or V2 doesn't enter the
1st equation, you have either:
1. Two independent equations where u can apply ols through _reg_ to
each of them separately,
reg v1 a b c d e
reg v2 a b c f g

or
2. if u believe that the errors are correlated across equations then use SUR

sur (v1 a b c d e f) (v2 a b c f g)

3sls is an Instrumental variable estimation with SUR errors = 2sls + SUR
and so it applicable where endogenous and cross equation error are
correlated, in that case u need to decide on the endogenous variables
and have a set of instruments to use.
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