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Re: st: about ivregress


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: about ivregress
Date   Tue, 28 Aug 2012 08:11:33 +0200

It does; as Kit suggested "varlist" is a list of (n) variables. Try:

ivregress 2sls y x1 (x2 x5 =x3 x4 x6 x7)

If you want to specify your model precisely as indicated below, you'll need to use reg3 or sem:

Two-stage least squares estimator
reg3 (y x1 x2 x5) (x2 x3 x4) (x5 x6 x7), 2sls

Three-stage least squares estimator
reg3 (y x1 x2 x5) (x2 x3 x4) (x5 x6 x7), 2sls

You can test overidentifying restrictions with the userwritten -overid- command.

You can estimated this with -sem- too, Maximum likelihood:

sem (y<- x1 x2 x5) (x2 <-x3 x4) (x5<-x6 x7)

You can also add ", vce(robust)" to the sem command.

This should help,
J.

__________________________________________

Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
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Associate Editor
The Leadership Quarterly
__________________________________________

On 28.08.2012 19:05, Lynn Lee wrote:
>
> The example provided in help document is " ivregress 2sls rent pcturban
> (hsngval = faminc i.region)", which indicates  the endogenous variable is
> "hsngval" and the number of endogenous variable is one. Now, my model has
> two endogenous variables, "ivregress 2sls y x1 (x2=x3 x4) (x5=x6 x7)", this > command is wrong. I am wondering whether there is command that handles two
> endogenous variables x2 and x5 at same time.  Thanks for any suggestion.
>
> Best Regards,
> Lynn Lee
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Christopher Baum
> Sent: Monday, August 27, 2012 1:41 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: re: st: about ivregress
>
> <>
> 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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