I wonder if anyone knows how I can perform this in stata:
I want to instrument 3 different variables in the IV regression, for
example,
use a1 and a2 for Var1; a3 for Var2; a4 for Var3, what's the stata
command that
i can run?
There isn't one, because you can't do it. This is a FAQ that has been
discussed at length in postings from Mark Schaffer and myself in recent
months; please see the Statalist archives. The theory of instrumental
variables regression does not include any such procedure, so it isn't
an issue of what Stata can or cannot do. No program can sensibly do
this.
