[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: -reg3- command and first-stage estimations

From   <[email protected]>
To   <[email protected]>
Subject   st: -reg3- command and first-stage estimations
Date   Tue, 4 Sep 2007 23:10:45 +0100

Hi all
I'm using the -reg3- command because I want to simultaneously estimate some equations, since I expect the error term across these equations to be correlated. I'm also using instruments for the regressors, because I have an endogeneity problem. I use the option exog(varlist) and endog(varlist) to specify which are the endogenous regressors and which are the instruments. The dependent variable is y, the regressors are e and k and the instruments are w and d. Stata provides the first-stage estimation for the endongenous regressors (e,k). But, what I don't understand is why it also provides this first-stage estimation for the dependent variable (y). I had never seen that before. Is it something particular to seemlingly unrelated regressions? Or is something that I'm doing wrong in Stata?
Thanks in advance.

Please access the attached hyperlink for an important electronic communications disclaimer:

*   For searches and help try:

© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index