Thanks Kit. It works perfect!!
On Tue, 15 Apr 2003, Christopher Baum wrote:
> On Tuesday, April 15, 2003, at 02:33 AM, Liliana wrote:
>
> > I wonder if there is a way in stata to perform instrumental
> > variables/2SLS
> > with three endogenous variables. I was told that the only way is
> > doing it
> > with two at a time. Is this true?
> >
> > Doing a manual search I found the following command:
> >
> > ivreg y1 x1 x2 (y2 y3= z1 z2 z3)
> >
> > that this imply that in order to run this model (with 3 endogenous)
> > the
> > "z" variables have to be the same for the two endogenous y2 and y3
>
> There is no restriction on the number of endogenous variables in ivreg.
> One might say
>
> ivreg y1 (y2 y3 y4 y5 y6 y7 y8 y9 y10 = list of instruments) x1 x2 x3
> ...
>
> subject to the constraint of the order condition: that the "list of
> instruments" is at least as long as the number of R.H. endogenous
> variables. It will then be the case that all of those instruments (as
> well as x1 x2 x3...) will be used in the 'first stage' regressions --
> and this is as it should be. IV from a theoretical standpoint does not
> allow one to choose which instruments appear in which first stage
> regressions -- a point often made on Statalist. This is not a
> Stata-imposed constraint; it is imposed by the underlying econometric
> theory. The textbook descriptions which suggest 'this is an instrument
> for that' are quite misleading in that regard.
>
> Thanks
> Kit
>
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>
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