How to use different instruments for different equations when implementing 3SLS estimation procedure for simultaneous equations?

[George Lin Gao]

I am using reg3 command to estimate simultaneous equations, it looks the same instrumental variables are used in all equations under thid command . But in my simultaneous equations, some control variables are endogenous, so I need use different instruments for different equations, actually I should use GMM 3SLS estimator according to Wooldridge(2010).But I don't know how to implement this estimation procedure. Can anybody give me some tips? Thanks a lot.

George Gao

[Ralph Park]

https://www.stata.com/manuals13/rgmm.pdf

Page 36 may help.

Note that the code in p36 specifies instruments for each equation.

For your information, estat overid, followed by the GMM will give you the Hansen J, which you may want to report in the results.

Also, for initial matrix specification, see (https://www.statalist.org/forums/for...-fit-the-model).

Hope this helps.