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From | Cameron McIntosh <cnm100@hotmail.com> |
To | STATA LIST <statalist@hsphsun2.harvard.edu> |
Subject | RE: st: 2 SLS |
Date | Sun, 2 Oct 2011 17:14:54 -0400 |
I would think that they'd all have to be examined simultaneously to ensure the right (unbiased) answers. Perhaps you could do that through an SEM (path model), using -cmp- or another similar module... and then test the independence constraints cov(X,e) = 0 for each X within that model? Roodman, D. (2011). Fitting fully observed recursive mixed-process models with cmp. The Stata Journal, 11(2), 159-206.http://www.stata-journal.com/article.html?article=st0224http://ideas.repec.org/c/boc/bocode/s456882.html Hausman, J.A. (1983). Specification and estimation of simultaneous equation models. In Z. Griliches & Intriligator, M.D. (Ed.), Handbook of Econometrics (vol I, pp. 391-448). North-Holland Publishing Company.http://pria.uran.ru/ebooks/Unsorted/07%20Hausman%20-%20Specification%20and%20Estimation%20of%20Simultaneous%20Equation%20Models.pdf Cam > From: ozdemirozgur@hotmail.com > To: statalist@hsphsun2.harvard.edu > Subject: st: 2 SLS > Date: Sun, 2 Oct 2011 15:56:28 +0000 > > Hi, > > I have a model which has 7 IVs to explain firm performance but I believe 4 of them are endogenous. e.g assume that my endogeneous vars are a,b,c,d and I would like to test them with the instrumental vars A,B,C, and D. is there an easy way of testing appropriateness of instrumental variables and 2 SLS in one go rather than doing them one by one. > thanks, Ozgur > > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/