Hi all,
Does anybody know how to do 2-stage (or 3-stage) least squares regression in Stata? I’m trying to replicate Shepherd’s analysis on her dataset, and running into problems.
I think my specific problem is that she estimates 50 different execution parameters (state-specific deterrence effects), so when I try and run this, I’m finding that “the system is not identified”, which I’m assuming means that there are too many endogenous predictors and not enough instruments.
If anyone had any advice (specifically on how to do this with a system of 4 equations, not in reduced form — I’m currently using the reg3 command), that’d be great. I’m going out of town so I’ll miss this Friday’s seminar, but any ideas would be most appreciated.
Thanks!
? commented:
Hi Amanda. You can ask Prof. Epstein of the political science dept–he’s a Stata expert.
But really, I think the only reason to do 2-stage least squares in this example is to check that we can duplicate Shepherd’s results. There are some interesting analyses I’d like to using public opinion as a predictor, but I don’t think the variables that Shepherd are using really work as IV’s.