Kit,
Thank you for your help. If that is okay with you, I
would like to ask for your advice regarding the
following model:
poverty=hhchar,farmchar,prod,mkt
prod=hhchar,farmchar,irrig,hhcomp
mkt=hhchar,farmchar,transport,road,ethnic
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.
Regards,
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
> http://ideas.repec.org/e/pba1.html
> An Introduction to Modern Econometrics Using Stata:
> http://www.stata-press.com/books/imeus.html
>
>
> *
> * For searches and help try:
> *
> http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
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