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

st: re: 2sls with multiple endogenous variables

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: re: 2sls with multiple endogenous variables
Date   Mon, 17 Dec 2007 13:30:26 -0500

Ana replied:

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?

NO. SUR is a systems estimator for systems of equations which each may be consistently estimated by OLS.

You have a recursive system here, in that both prod and mkt depend only on exogenous variables. You should do

ivreg2 poverty hhchar farmchar (prod mkt = irrig hhcomp transport road ethnic)

to estimate this model.

You could probably use -reg3- as well to impose the zero restrictions on instruments. I'm not sure that would make much difference, though, and Stata's -reg3- is much less capable than -ivreg2- (or official - ivregress-) in being able to deal with non-iid errors (e.g. it cannot even estimate using -robust-, let alone cluster() or HAC). I would worry about that in terms of the reliability of interval estimates and inference.

Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

* For searches and help try:

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