What I know of econometrics is very limited, but this statement of Kit
Baum appears relevant:
Instrumental variables involves a matrix of regressors X
and a matrix of instruments Z. All variables considered
exogenous (or predetermined) are in Z. Some may also be
in X.
There is no one-to-one correspondence between regressors
and instruments. All elements of Z are being used to
generate the 'X-hat' matrix; that is, each column of X
is regressed on the elements of Z. This is not a whim of
Stata's design; it is inherent in the notion of an IV estimator.
Nick
[email protected]
Andrei Simonov
I wonder if you can help me. I need to estimate quite simple 2SLS reg, say
Y=a+b1*x1 +b2*x2 +exog. Vars +e.
The problem is that I want to specify different lists of instruments for x1 and x2. Is there any way to deal with it?
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