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RE: st: simultaneous equations with panel data, endogenous regressors and


From   Cameron McIntosh <cnm100@hotmail.com>
To   STATA LIST <statalist@hsphsun2.harvard.edu>
Subject   RE: st: simultaneous equations with panel data, endogenous regressors and
Date   Sun, 8 Apr 2012 10:17:57 -0400

Agnese,
As Kit had already mentioned, equation-by-equation estimators (e.g., 2SLS) will not smear the impact of specification errors across model estimates to the same extent as global/simultaneous estimators (3SLS). You may want to see:

Turkington, D.A. (1985). A Note on Two-Stage Least Squares, Three-Stage Least Squares and Maximum Likelihood Estimation in an Expectations Model. International Economic Review, 26(2), 507-510. 

Belsley, D.A. (1988). Two- or three-stage least squares? Computational Economics, 1(1), 21-30.

Kapteyn, A., & Fiebig, D.G. (1981). When are two-stage and three-stage least squares estimators identical? Economics Letters, 8(1), 53-57.http://arno.uvt.nl/show.cgi?fid=69366 ;

For what it's worth,

Cam

> From: kit.baum@bc.edu
> To: statalist@hsphsun2.harvard.edu
> Date: Sun, 8 Apr 2012 09:59:12 -0400
> Subject: Re: Re: Re: st: simultaneous equations with panel data, endogenous regressors and
> 
> <>
> On Apr 8, 2012, at 2:33 AM, Agnese wrote:
> 
> > Thanks. I was looking for a reference supporting the use of estimating
> > separately each equation by 2SLS instead of using the 3SLS. Do you
> > have anything to recommend?
> 
> I am traveling, away from any books on the subject. Will check later this week.
> 
> 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
> 
> 
> 
> 
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