24 February 2021 3 7K Report

To be specific, I want to conduct an IV regression in stata with the following three equations.

EQ1: Y1 ~Y2 Y3 X

EQ2: Y2 ~ Z1

EQ3: Y3 ~ Z2

Both Y2 and Y3 are endogenous. However, Z1 and Z2 are not the same set of exogenous variables.

In stata, all exogenous variables will by included in the first step estimation with the command ivreg. However, I want to estimate the reduced form of Y2 and Y3 with different sets of IVs. Does anyone know how I can achieve this goal? Thanks a lot.

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