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st: Simultaneous Equations

From   Ryan Mutter <[email protected]>
To   [email protected]
Subject   st: Simultaneous Equations
Date   Fri, 3 Oct 2003 13:12:28 -0400 (EDT)

I am interested in estimating the following equation:

X = a + bY + cM + error

where X, Y, and M are variables and a, b, and c are paremeters to be
estimated.  Y is also determined by X as follows:

Y = d + eX + fD + eM + fZ + error

where Z = D*M.

My question:  Can I estimate this system using 2SLS with D, M, and Z as
instruments for Y?  My concern is that Z = D*M and M is in the first


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