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RE: st: simultaneous equations with panel data, endogenous regressors and
From
Cameron McIntosh <[email protected]>
To
STATA LIST <[email protected]>
Subject
RE: st: simultaneous equations with panel data, endogenous regressors and
Date
Sun, 8 Apr 2012 10:17:57 -0400
Agnese,
As Kit had already mentioned, equation-by-equation estimators (e.g., 2SLS) will not smear the impact of specification errors across model estimates to the same extent as global/simultaneous estimators (3SLS). You may want to see:
Turkington, D.A. (1985). A Note on Two-Stage Least Squares, Three-Stage Least Squares and Maximum Likelihood Estimation in an Expectations Model. International Economic Review, 26(2), 507-510.
Belsley, D.A. (1988). Two- or three-stage least squares? Computational Economics, 1(1), 21-30.
Kapteyn, A., & Fiebig, D.G. (1981). When are two-stage and three-stage least squares estimators identical? Economics Letters, 8(1), 53-57.http://arno.uvt.nl/show.cgi?fid=69366 ;
For what it's worth,
Cam
> From: [email protected]
> To: [email protected]
> Date: Sun, 8 Apr 2012 09:59:12 -0400
> Subject: Re: Re: Re: st: simultaneous equations with panel data, endogenous regressors and
>
> <>
> On Apr 8, 2012, at 2:33 AM, Agnese wrote:
>
> > Thanks. I was looking for a reference supporting the use of estimating
> > separately each equation by 2SLS instead of using the 3SLS. Do you
> > have anything to recommend?
>
> I am traveling, away from any books on the subject. Will check later this week.
>
> Kit
>
> Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
> An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
> An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
>
>
>
>
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