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Re: st: re: How to correct standard errors of a 2sls performed by

From   John Antonakis <>
Subject   Re: st: re: How to correct standard errors of a 2sls performed by
Date   Sat, 06 Feb 2010 07:21:42 +0100


What if the system is non-recursive (with feedback loops) and with multiple equations, e.g.,

y = x1 + x2 + z
x1 = m1 + m2 + x2 + z
x2 = n1 + n2 + x1 + z
m1 = q1 + q2 + z
m2 = p1 + p2 + z

Here one would need reg3, but how would one ensure consistency of standard errors (in the presence of heteroskedasticity), apart from bootstrapping (and Roodman's -cmp- would not here as it is only for recursive systems)?



Prof. John Antonakis, Associate Dean Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
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On 06.02.2010 02:02, Kit Baum wrote:
John wrote
How would one deal with systems of equations (i.e., reg3) and concurrently have heteroskedastic-robust standard errors? Would bootstrapping with reg3 just be the simplest solution?

In the absence of cross-equation constraints, just estimate each equation with single-equation methods, i.e. -ivregress- or -ivreg2- using robust or cluster-robust VCE. Nothing is lost in doing so beyond a possible gain in efficiency.


Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

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