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Re: RE: st: How to run 2SLS twice


From   Mauro Caselli <m.caselli@unsw.edu.au>
To   statalist@hsphsun2.harvard.edu
Subject   Re: RE: st: How to run 2SLS twice
Date   Wed, 16 Feb 2011 10:53:39 +1100

Hi Eric and Kit,

Thank you for your replies. I am just a bit confused and maybe it's
because of the way I have put my equations. Equation 3) below is
actually the first stage regression, equation 2) is a second stage or
intermediate stage and then equation 1) is the last stage or
structural eq.
Now when you suggest to run equation 1) with ivreg2, do you have in
mind to use z2, z2hat (fitted values of ivreg2 from equations 2) and
3)) or x3 as the instrument for the endogenous variable z1?

Thank you again and I look forward to your reply.

Mauro



On 15 February 2011 23:41, Christopher Baum <kit.baum@bc.edu> wrote:
> <>
> Eric wrote
> At a quick glance, the system seems to be recursive. So each equation can be estimated by OLS
>
> Yes, if you write the equations in the reverse order, they appear recursive, and amenable to OLS. It may still be the case that HOLS is advantageous in this context, though, on efficiency grounds.
>
> Kit
>
>
>
> Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
>                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
>   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html
>
>
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>



-- 
Mauro Caselli
Postdoctoral Research Fellow
School of Economics, Room 410
Australian School of Business
The University of New South Wales, NSW, 2052
Australia
Phone: +61 (0)2 9385 3561
Email: m.caselli@unsw.edu.au

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