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From |
John Antonakis <John.Antonakis@unil.ch> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: about ivregress |

Date |
Tue, 28 Aug 2012 10:13:30 +0200 |

It does; as Kit suggested "varlist" is a list of (n) variables. Try: ivregress 2sls y x1 (x2 x5 =x3 x4 x6 x7)

Two-stage least squares estimator reg3 (y x1 x2 x5) (x2 x3 x4) (x5 x6 x7), 2sls Three-stage least squares estimator reg3 (y x1 x2 x5) (x2 x3 x4) (x5 x6 x7), 3sls

You can estimated this with -sem- too, Maximum likelihood: sem (y<- x1 x2 x5) (x2 <-x3 x4) (x5<-x6 x7), covstructure(e._OEn) or more specifically: sem (y<- x1 x2 x5) (x2 <-x3 x4) (x5<-x6 x7), covstructure(e.x2*e.x5)

You can also add ", vce(robust)" to the sem command. This should help, J. __________________________________________ Prof. John Antonakis Faculty of Business and Economics Department of Organizational Behavior University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 http://www.hec.unil.ch/people/jantonakis Associate Editor The Leadership Quarterly __________________________________________ On 28.08.2012 19:05, Lynn Lee wrote:

The example provided in help document is " ivregress 2sls rent pcturban (hsngval = faminc i.region)", which indicates the endogenous variable is "hsngval" and the number of endogenous variable is one. Now, my model has two endogenous variables, "ivregress 2sls y x1 (x2=x3 x4) (x5=x6

x7)", this

command is wrong. I am wondering whether there is command that

handles two

endogenous variables x2 and x5 at same time. Thanks for any suggestion. Best Regards, Lynn Lee -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of

Christopher Baum

Sent: Monday, August 27, 2012 1:41 PM To: statalist@hsphsun2.harvard.edu Subject: re: st: about ivregress <> Lynn said: My estimation model has two endogenous explanatory variables

(cross-section

data set). The command "ivregress 2sls" or "ivregress gmm" are

suitable for

one endogenous variable. What specific command I can use if I want to

handle

these two endogenous variables at same time in Stata? And what

command for

handling more than one endogenous variables in panel data is used? The syntax for -ivregress- is ivregress estimator depvar [varlist1] (varlist2 = varlist_iv)

[if]

[in] [weight] [, options] Note that -varlist2- is a varlist, not a varname. Thus you may put as

many

variables as you wish into -varlist2-, s.t. the order condition for identification, which requires that -varlist_iv- has at least as many elements as -varlist2-. In panel data, use -xtivreg-, which uses the same syntax. For a broader set of features, -ssc desc ivreg2- and -ssc xtivreg2-

and the

two Stata Journal papers by Baum, Schaffer, Stillman referenced in their help files. 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: about ivregress***From:*"Lynn Lee" <lynn09v@gmail.com>

**References**:**re: st: about ivregress***From:*Christopher Baum <kit.baum@bc.edu>

**RE: st: about ivregress***From:*"Lynn Lee" <lynn09v@gmail.com>

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