Hi Andres:
If 3SLS and 2SLS estimates are significantly different (you can test
this with a Hausman test), then you should go with 2SLS because if there
is a mispecification in one part of the model 2SLS will not taint
estimates in other parts of the model (whereas with 3SLS bias is
transmitted everywhere). See p. 282 of
Baltagi, B. H. (2002). Econometrics. New York: Springer.
Best,
J.
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University of Lausanne
Internef #618
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On 23.09.2009 00:15, Susaeta ,Andres wrote:
Hello Stata members.
I'm dealing with a simultaneous equation system, three supply and
three demand equations. As endogeneity is present, a instrumental
variable method is required. I have 37 years of historical data.
- I'm in doubt to use 2sls (robust) or 3sls. I know that 3sls is
more efficient than 2sls but because of the small number of
observations it might not be good idea.
- 3sls doesnt allow the option robust. Is there any way to do so?
- when I use reg3 for the whole system together, the results are
different if you I it equation by equation. Anyone know the reason
or which way is more reasonable?
Thanks
Andres
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