Hi,
I have a question concerning 2SL2 estimation with several instrumented
variables
Is it possible to estimate the following system of equations with
Stata:
(1) Xt =At+Bt
(2) Xt-1=A-1+B-1
(3) Yt= Ct+Dt
(4) Yt-1= Ct-1+Dt-1
(5) Z= Xt +Xt-1+Yt+Yt-1
I tried several ways using ivreg, but I did not get a result. The other
way
could be to estimate each equation separately and use the predicted
value in
equation 5. But I have no clue how to correct the error terms for
several
instrumented variables.
Thanks for you help
Peter
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