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st: RE: reg3 option -robust-

From   "Brian P. Poi" <[email protected]>
To   <[email protected]>
Subject   st: RE: reg3 option -robust-
Date   Mon, 18 Oct 2010 21:58:13 -0400

On Mon 10/18/2010 11:51 AM [email protected] wrote:

reg3 option -robust-
Do you know if there is a way to estimate a structural equation model in
Stata with the option for robust standard errors?
It seems that the comand reg3 doesnt' support the option -robust-


One option would be to use the -gmm- command.  There is a discussion of
systems estimators in the corresponding manual entry.

Presumably you want to use the -robust- option because you think the errors
are heteroskedastic.  By using -gmm- you can select a weight matrix that
specifically allows for heteroskedasticity, implementing what Wooldridge
calls the GMM 3SLS estimator in his graduate textbook.

If you were to use -reg3- knowing that you have heteroskedastic errors, it's
not clear to me that there would be any advantage over using
equation-by-equation 2SLS.  The weight matrix used in standard 3SLS assumes
homoskedasticity.  Unless the errors really are homoskedastic I don't think
you can make any claims about 3SLS being more efficient than 2SLS since
you're using the "wrong" weight matrix.

-- Brian Poi

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