st: Minimum distance estimation

["Blyde, Juan S." <JUANBL@iadb.org>]

I have the following system of equations with Y1 and Y2 being the endogenous variables and X1 and X2 being the exogenous variables:

(1) Y1 = a.X1 + u1

(2) Y2 = b.Y1 + c.X2 + u2

Equation (1) is already in reduced form while the reduced form for equation (2) is:

(2') Y2 = d.X1 + c.X2 + e2   where: d = b.a  ;  e2 = b.u1 + u2

I need to apply the Asymptotic Least Square (ALS) method to this system. The key idea of this method is to estimate reduced form coefficients in each of the equations of the model separately and then infer the structural form parameters using a minimum distance estimator or the so called ALS method. Is there an algorithm in STATA to apply this method?

Thanks,

Juan

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