Yeah, it seems that Kit B. or Mark S. answers this question every week
or so (or perhaps more often counting off-list inquiries?) and it is
true that what we usually call IV is in fact a one-step estimator in
which every endogenous variable is instrumented using all available
"instruments" but see also SIV (system IV) in Wooldridge
http://www.stata.com/texts/eacsap/
On 12/1/05, Nick Cox <[email protected]> wrote:
> 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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>
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