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st: 3SLS with different instruments for different equations
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st: 3SLS with different instruments for different equations
Date
Mon, 14 Mar 2011 17:21:47 +0000
Hi, I'm having trouble specifying the following model in stata using 3sls. Can you help please?
Y1 = b0 + b1*Y2 + b2*Y3 + b3*X1 + b4*X2
Y2 = k0 + k1*Y1 + k2*IV1 + k3*X1 + k4*X2
Y3 = j0 + j1*Y1 + j2*IV2 + j3*X1 + j4*X2
Y1 is endogenous to Y2 and Y3. But Y2 and Y3 are not endogenous.
IV1 is a good instrument for Y2, not Y3, but
IV2 is a good instrument for Y3, not Y2.
When I type
reg3 (Y1 Y2 Y3 X1 X2) (Y2 Y1 IV1 X1 X2) (Y3 Y1 IV2 X1 X2), first
I get in the first-stage results for
Y2 Y1 IV1 X1 X2 __and IV2__
Y3 Y1 IV2 X1 X2 __and IV1__
As a result, I get strange estimates that differ from the case when I have just Y2 or Y3 (not both) in equation 1 and used 2SLS.
How do I specify in STATA that my 3SLS equation 2 should not have IV2, and equation 3 should not have IV1?
Many thanks!!
May
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