I want to estimate a system of 2 equations with endogeneous variables:
reg3 (y1 x1 x2 x3 x4) (y2 x1 x2 x3 x4) , endog(x1 x2) exog(lag_x1 lag_x2 lag2_x1 lag2_x2)
So the independent variables of both equations are identical: it is highly likely that the error terms of the two equations are affected by the same exogeneous shocks and therefore related.
Does my specification make sense? My problem is that I dont see any difference in the results compared to a 2sls estimation....
Many thanks
reg3 (y1 x1 x2 x3 x4) (y2 x1 x2 x3 x4) , endog(x1 x2) exog(lag_x1 lag_x2 lag2_x1 lag2_x2)
So the independent variables of both equations are identical: it is highly likely that the error terms of the two equations are affected by the same exogeneous shocks and therefore related.
Does my specification make sense? My problem is that I dont see any difference in the results compared to a 2sls estimation....
Many thanks
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