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Re: st: 3SLS / Three Stage with heteroscedasticity robust errors

From   John Antonakis <[email protected]>
To   [email protected]
Subject   Re: st: 3SLS / Three Stage with heteroscedasticity robust errors
Date   Wed, 09 Sep 2009 17:52:01 +0200


Use Roodman's cmp. It allows you to estimate systems of equations using ML with heteroskedastic robust SEs. Do -ssc install cmp-.


Roodman, D. (2008). Cmp: Stata module to implement conditional (recursive) mixed process estimator.


Prof. John Antonakis
Associate Dean Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny

Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

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Personal page:

On 09.09.2009 17:47, Wiebke Schlanbusch wrote:
Dear Statalist-ers,

for my diploma thesis I want to estimate a simultaneous equations model with different data samples using -reg3-. I tested all my single equations on heteroscedasticity using -ivreg2- for the equations and -ivhettest- for the test. Some of my equations turn out to be heteroscedastic and other not... Therefore I would like to estimate the 3SLS models using robust errors, which is not implemented. Someone suggested to programm it in Stata, but unfortunately my programming skills are not worth mentioning nor do I have the programming manual. This is why I am asking if anyone ever did this "robust errors three stage"-programming and might be so kind to help me with the code.
(I am currently using Stata 10.1)

Kind regards,
Wiebke Schlanbusch

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