Conditional CAPM regression

[Kate robinson]

Please that might sound basic for all of you but I am not an expert and I need to estimate the following model using OLS:
R= a + β1 RM + β2(z)RM + ε (the model is called conditional CAPM, and please ignore that I did write the notations because they won't affect my question)
The problem I am facing is how to put the (z) term in the equation on Stata to get β2. In the paper they called the (z) term an instrument, However, if I estimate the equation in Stata with (z) as an instrument variable I won't get β2. I appreciate any suggestion.

[Carlo Lazzaro]

Kate:
the paper you're dealing with (BTW: as per FAQ, please provide full reference. Thanks) reports on an endogeneity issue, I guess.
Therefore, you should consider -ivregress-.

[Kate robinson]

Thanks, Carlo Lazzaro for your reply. I found a solution. I appreciate your contribution.

[Carlo Lazzaro]

Kate:
FAQ recommend to share the solution you found useful, so that others with the same issue can benefit from it. Thanks.