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st: Re: multiple eqn GMM

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Re: multiple eqn GMM
Date   Tue, 11 Jan 2005 09:42:21 -0500

You cannot assign instruments to regressors in any form of instrumental variables estimation. If you were to estimate these equations separately, X3 and X4 would also be instruments for the first equation, and X1 and X2 would also be instruments for the second equation. Presumably there are structural equations for each of the X's somewhere in your system which render them endogenous.

If a systems estimator is to be used, you list all of the instruments (Z1-Z5 plus X1-X4) and specify the two equations as you have done. You can use reg3 with constraints to estimate this system -- it will not be full GMM, but it will allow you to do the systems estimation and apply the cross--equation constraints. At present I am not aware of a full GMM systems estimator for Stata.

Kit Baum, Boston College Economics

On Jan 11, 2005, at 2:33 AM, Gordon wrote:

I wonder how to use STATA to estimate a multiple equation GMM like the

Equation 1: Y1 = a1*X1+a2*X2. I have Z1, Z2 and Z5 as instruments for X1 and X2

Equation 2: Y2 = a1*X3+a2*X4. I have Z3 and Z4 as instruments for X3 and X4.
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