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Re: st: re: 2sls with multiple endogenous variables

From   "Ana R. Rios" <[email protected]>
To   [email protected]
Subject   Re: st: re: 2sls with multiple endogenous variables
Date   Mon, 17 Dec 2007 06:59:19 -0800 (PST)


Thank you for your help.  If that is okay with you, I
would like to ask for your advice regarding the
following model:


Would it be okay to estimate the model using SUR? 
Could you please suggest a way to estimate the model?

Thank you for your time.


Ana Rios

--- Kit Baum <[email protected]> wrote:

> Ana said
> I am trying to estimate a 2SLS model with two
> endogenous variables (y2, y3) which have different
> exogenous explanatory variables.  That is,
> y2=f(z1,z2) and y3=f(z3,z4,z5).  Is there any Stata
> command that will allow the estimation of this
> model?
> No, this is a FAQ. 2SLS requires that you regress
> each endog on all  
> of the instruments, included and exlcuded.
> If you specify a full mulitple-equation model (e.g.
> 3SLS) you can  
> specify the exclusion restrictions that apply to the
> RHS endogenous  
> variables (as they are then LHS in each of  their
> own equations) but  
> in a 2SLS/IV context, it cannot be done. Consistent
> estimation of  
> 2SLS requires that all instruments appear in each
> 'first stage'  
> regression.
> See the Stata FAQs.
> Kit Baum, Boston College Economics and DIW Berlin
> An Introduction to Modern Econometrics Using Stata:
> *
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