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st: 2SLS and eivreg

From   Henrik Andersson <[email protected]>
To   [email protected]
Subject   st: 2SLS and eivreg
Date   Wed, 18 Aug 2004 19:28:21 +0200


I am estimating the following equation


where a,b and c are coefficients to be estimated, x, y and z my variables, and e the error term. My x is correlated with e and I therefore use 2SLS (ivreg). I also suspect that I have measurement errors in z and would therefore, as a sensitivity test, like to use the regression command eivreg (errors-in-variables regression).

Is it possible to run a combined 2SLS-eivreg, i.e. is it possible to instrument x at the same time as I run eivreg, or vice versa?

I (still) use Stata 7.

Best regards

Henrik Andersson

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