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# Re: st: about ivregress

 From John Antonakis To statalist@hsphsun2.harvard.edu Subject Re: st: about ivregress Date Tue, 28 Aug 2012 10:13:30 +0200

[Double Oops. Sorry about this.....I just realized that I messed up with the sem command too; the disturbances must be correlated. Here goes again. Apologies for my oversight:
```

```
1. Oops one: There was a typo in the Three-stage least square command, which should have 3sls (the default, thus it does not even need to be written, instead of 2sls)
```
```
2. Oops two: in the sem command, you must correlate cross-equation disturbances; else, the estimator will not be an instrumental variable one.]
```
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), 3sls

```
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), covstructure(e._OEn)

or more specifically:

sem (y<- x1 x2 x5) (x2 <-x3 x4) (x5<-x6 x7), covstructure(e.x2*e.x5)

```
The covariance e.x2*ex5 is the Hausman test (see: Antonakis, J., Bendahan, S., Jacquart, P., & Lalive, R. (2010). On making causal claims: A review and recommendations. The Leadership Quarterly, 21(6), 1086-1120)
```
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
http://www.hec.unil.ch/people/jantonakis

Associate Editor
__________________________________________

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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