xtivreg2 with multiple endogenous variables

[Solomon Lin]

Hi,

I'm running a 3 equation simultaneous equation model. I've done some searching online and sadly, it seems there is no way to separate each endogenous variable and its associated instruments if I use xtivreg2.

I have a question about xtivreg2.

If I have the below dependent variables and instruments:

Y1 has instruments Z1, Z2, Z3 and Z4
Y2 has instruments Z1, Z2, Z5 and Z6
Y3 has instruments Z7

If I run xtivreg2 on Y1:
xtivreg2 Y2 X1 X2 (Y2 Y3 = Z5 Z6 Z7), i(id) fe robust

Do I include Z1 and Z2 in the list of exogenous variables (alongside X1 and X2)?

Thanks!

[Eric de Souza]

In order to answer your question correctly one would need to know what the three equations of your model are.

[Solomon Lin]

In order to answer your question correctly one would need to know what the three equations of your model are.

m

Hi,

Thanks for the reply. Say for example Y1 is Log Wage and Y2 is Hours Worked and Y3 is Gambling. Assuming Education and Experience are Z1 and Z2, should they be listed as exogenous independent variables like X1 X2?

[Eric de Souza]

I was not clear. What I needed to know is not what Y X and Z stand for but the actual equations. If I understand correctly you have a simultaneous equation model made up of 3 equations. I need to know what these equations look like in order to provide a correct and complete answer