Kit, thanks for you answer.
This is my model.
lny1 = b0 + b1 lnye1 + b2 lnk1 + err
lny2 = c0 + c1 lnye2 + c2 lnk2 + err
lny3 = d0 + d1 lnye3 + d2 lnk3 + err
lny4 = q0 + q1 lnye4 + q2 lnk4 + err
lny5 = g0 + g1 lnye5 + g2 lnk5 + err
lny6 = h0 + h1 lnye6 + h2 lnk6 + err
lny7 = m0 + m1 lnye7 + m2 lnk7 + err
lny8 = n0 + n1 lnye8 + n2 lnk8 + err
lny9 = p0 + p1 lnye9+ p2 lnk9 + err
And the additional equations instrumenting each of the regressors with the instruments (lnw1, ..., lnw9, lnd1, ..., lnd9).
The command I'm using in Stata is the following:
. reg3 (lny1 = lne1 lnk1)(lny2 = lne2 lnk2)(lny3 = lne3 lnk3)(lny4 = lne4 lnk4)(lny5 = lne5 lnk5)(lny6 = lne6 lnk6)(lny7 = lne7 lnk7)(lny8 = lne8 lnk8)(lny9 = lne9 lnk9), endog (lne1 lne2 lne3 lne4 lne5 lne6 lne7 lne8 lne9 lnk1 lnk2 lnk3 lnk4 lnk5 lnk6 lnk7 lnk8 lnk9) exog (lnw1 lnw2 lnw3 lnw4 lnw5 lnw6 lnw7 lnw8 lnw9 lnd1 lnd2 lnd3 lnd4 lnd5 lnd6 lnd7 lnd8 lnd9) first
With reference to the exclusion restrictions, every first stage estimation has 18 regressors, and some of them are significant and some others are not. Additionally, I thought of using -reg3- command because of the fact that the especification is the same for all nine sectors.
I've run in Stata the example you suggested in your answer, and I still don't understand why in the first-stage regressions when using -reg3- command, the instruments (capital1 and invest) are used to estimate the dependent variable (consump). When using -ivreg2- command, the first-stage estimations correspond to the regressors and the instruments, but no estimation of the dependent variable on the instruments is provided.
Thanks again.
Marta.
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