Is it possible to run a 3SLS specification using instrument variables in Stata?
I have the following system of equations that I'm trying to estimate using 3SLS. The variables in orange are endogenous.
Y1= C1 + b1X1 + b2X2 + b3X3 + e1
Y2 = C2 + b4Y1 + b5X4 + b6X5 + e2
Y3 = C2 + b7Y2 + b8X6 + b9X7 + e2
A simple 3 SLS on this system of equations would look like:
reg3 (Y1 X1 X2 X3) (Y2 Y1 X4 X5) (Y3 Y2 X6 X7)
However, I would like to instrument X1 to deal with the engogeneity problem. Is there a way to do so while using 3SLS? I understand that we can use ivregress using 2SLS, but can a similar command be run using 3SLS?
Thanks!
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