RE: st: about ivregress

["Lynn Lee" <lynn09v@gmail.com>]

The example provided in help document is " ivregress 2sls rent pcturban
(hsngval = faminc i.region)", which indicates  the endogenous variable is
"hsngval" and the number of endogenous variable is one. Now, my model has
two endogenous variables, "ivregress 2sls y x1 (x2=x3 x4) (x5=x6 x7)", this
command is wrong. I am wondering whether there is command that handles two
endogenous variables x2 and x5 at same time.  Thanks for any suggestion.

Best Regards,
Lynn Lee

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Christopher Baum
Sent: Monday, August 27, 2012 1:41 PM
To: statalist@hsphsun2.harvard.edu
Subject: re: st: about ivregress

<>
Lynn said:

My estimation model has two endogenous explanatory variables (cross-section
data set). The command "ivregress 2sls" or "ivregress gmm" are suitable for
one endogenous variable. What specific command I can use if I want to handle
these two endogenous variables at same time in Stata? And what command for
handling more than one endogenous variables in panel data is used? 


The syntax for -ivregress- is


        ivregress estimator depvar [varlist1] (varlist2 = varlist_iv) [if]
[in] [weight] [, options]

Note that -varlist2- is a varlist, not a varname. Thus you may put as many
variables as you wish into -varlist2-, s.t. the order condition for
identification, which requires that -varlist_iv- has at least as many
elements as -varlist2-.

In panel data, use -xtivreg-, which uses the same syntax.

For a broader set of features, -ssc desc ivreg2- and -ssc xtivreg2- and the
two Stata Journal papers by Baum, Schaffer, Stillman referenced in their
help files.

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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