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st: 3SLS-Estimation step by step?

From   "Martin Halla" <[email protected]>
To   <[email protected]>
Subject   st: 3SLS-Estimation step by step?
Date   Tue, 04 Jan 2005 09:19:29 +0100

Dear All,

I would like to carry out a 3SLS-Estimation step by step, but I  have
problems withe the third stage:

** Using the following textbook-data for instance:

use, clear
drop if lwage==.

** I woudl like to replicate this estimation:

reg3 (hours lwage educ age kidslt6 nwifeinc) (lwage hours educ exper

* My Procedure is the folllowing:

* 1. Stages
reg hours exper expersq educ age kidslt6 nwifeinc
predict pred_hours

reg lwage exper expersq educ age kidslt6 nwifeinc
predict pred_lwages

* 2.  Stages

ivreg hours pred_lwage educ age kidslt6 nwifeinc 
predict pred2_hours
gen resid2_hours = hours - pred2_hours
gen resid2_hours2 = resid2_hours^2

ivreg lwage pred_hours educ exper expersq 
predict pred2_lwage
gen resid2_lwage= lwage - pred2_lwage
gen resid2_lwage2= resid2_lwage^2

* 3. Stage

mkmat resid2_hours2  resid2_lwage2, matrix(w)

*...can I apply now a SURE estimation?
*...What is the right procedure?
* Any proposals? Thanks in advance.

Martin Halla

Martin HALLA 
Department of Economics
Johannes Kepler Universiy Linz
Altenbergerstr. 69
A-4040 Linz, Austria
[email protected] 

Tel.: +43-732-2468-8219
Fax: +43-732-2468-2-8219

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