I suppose -cmp- from ssc may also help
Nicola
At 02.33 14/12/2007 -0500, you wrote:
Ana said
I am trying to estimate a 2SLS model with two
endogenous variables (y2, y3) which have different
exogenous explanatory variables. That is,
y2=f(z1,z2) and y3=f(z3,z4,z5). Is there any Stata
command that will allow the estimation of this model?
No, this is a FAQ. 2SLS requires that you regress each endog on all
of the instruments, included and exlcuded.
If you specify a full mulitple-equation model (e.g. 3SLS) you can
specify the exclusion restrictions that apply to the RHS endogenous
variables (as they are then LHS in each of their own equations) but
in a 2SLS/IV context, it cannot be done. Consistent estimation of
2SLS requires that all instruments appear in each 'first stage'
regression.
See the Stata FAQs.
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