#3SLS

Description:
reg3 estimates a system of structural equations, where some equations contain endogenous variables among the explanatory variables. Estimation is via three-stage least squares (3SLS); see Zellner and Theil (1962). Typically, the endogenous explanatory variables are dependent variables from other equations in the system. reg3 supports iterated GLS estimation and linear constraints. reg3 can also estimate systems of equations by seemingly unrelated regression estimation (SURE), multivariate regression (MVREG), and equation-by-equation ordinary least squares (OLS) or two-stage least squares (2SLS).
Nomenclature:
Under 3SLS or 2SLS estimation, a structural equation is defined as one of the equations specified in the system. A dependent variable will have its usual interpretation as the left-hand-side variable in an equation with an associated disturbance term. All dependent variables are explicitly taken to be endogenous to the system and are treated as correlated with the disturbances in the system’s equations. Unless specified in an endog() option, all other variables in the system are treated as exogenous to the system and uncorrelated with the disturbances. The exogenous variables are taken to be instruments for the endogenous variables.

[@wafaasalah]

more than perfect professor

[@Moon-iv1xy]

Thanks a lot for this!

[@user-id2ec5nr7y]

Hi Professor. Thank you for this interesting video. I have a question. I want to estimate a simultaneous equations model, but one dependent variable is a discrete variable with three categories. I want to applied an ordered probit to model it. How can I process to estimate this kind of model? Thanks

[@bobbyboomer2077]

jazakallahu khair bro

[@bobbyboomer2077]

How did you store the Y and X value? should you regressed it first because of the simultaneous model?

[@alhanoufsam3902]

Thank you so much for your excellent explanation. Could I ask you please how to get adjusted r squared for the 3sls?

[@vikrantspeaks]

How to check the endogeneity of X and Y variables?

[@uumarov]

How do you deal with heteroscedasticity in 3sls?

[@vinhpham5490]

Dear Professor, is there any test after 3sls regression? Like tests for the strength of the instruments, overidentification, etc.

[@kabeldelices1016]

What are de postestimation test please. Shoud we use Hausman and Sargan tests ?

[@uzmasiddiqui4317]

sir which version you have used of SPSS for 3SLS?

[@earningsmanagementestimati6028]

It is stata not spss