Thank you for your answer. I have only Stata 10, do you think this
version is enough for that method.
2009/12/10 Austin Nichols <[email protected]>:
> Ekrem Kalkan <[email protected]> :
> Read the manual entry on -gmm- in Stata 11 for a multi-equation IV
> with different instruments by equation.
>
> On Thu, Dec 10, 2009 at 2:43 PM, Ekrem Kalkan <[email protected]> wrote:
>> Hello Dear Stata users,
>>
>> In a presentation prepared by C. Baum (see the site
>> http://fmwww.bc.edu/ec-c/s2009/771/DIWMar2008.beamer.pdf, page 38),
>>
>> it is said that it is possible to restrict certain instruments to
>> enter certain first-stage regressions by specifying a full
>> simultaneous system of equations and by using the command "reg3". As
>> far as I know in "reg3", all instruments specified in option exog( )
>> are used in reduced form regressions. Does anybody know how to do
>> Baum's suggestion ?
>> More concretely, I am currently estimating a demand system using AIDS
>> model. Prices (P1, P2 etc.) are assumed to be endogenous. I assume
>> instrument IV1 is correlated with P1, but I do not want to use IV1 for
>> P2, for example.
>>
>> Thank you.
>>
>> Ekrem Kalkan
>
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