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re: st: about ivregress


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   re: st: about ivregress
Date   Mon, 27 Aug 2012 20:41:02 +0000

<>
Lynn said:

My estimation model has two endogenous explanatory variables (cross-section
data set). The command "ivregress 2sls" or "ivregress gmm" are suitable for
one endogenous variable. What specific command I can use if I want to handle
these two endogenous variables at same time in Stata? And what command for
handling more than one endogenous variables in panel data is used? 


The syntax for -ivregress- is


        ivregress estimator depvar [varlist1] (varlist2 = varlist_iv) [if] [in] [weight] [, options]

Note that -varlist2- is a varlist, not a varname. Thus you may put as many variables as you wish into -varlist2-, s.t. the order
condition for identification, which requires that -varlist_iv- has at least as many elements as -varlist2-.

In panel data, use -xtivreg-, which uses the same syntax.

For a broader set of features, -ssc desc ivreg2- and -ssc xtivreg2- and the two Stata Journal papers by Baum, Schaffer, Stillman referenced in their help files.

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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