# st: re: How to correct standard errors of a 2sls performed by

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## st: re: How to correct standard errors of a 2sls performed by

 <> John wrote How would one deal with systems of equations (i.e., reg3) and concurrently have heteroskedastic-robust standard errors?  Would bootstrapping with reg3 just be the simplest solution? In the absence of cross-equation constraints, just estimate each equation with single-equation methods, i.e. -ivregress- or -ivreg2- using robust or cluster-robust VCE. Nothing is lost in doing so beyond a possible gain in efficiency. Kit Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html* *   For searches and help try: *   http://www.stata.com/help.cgi?search*   http://www.stata.com/support/statalist/faq*   http://www.ats.ucla.edu/stat/stata/
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## Re: st: re: How to correct standard errors of a 2sls performed by

 Hi: What if the system is non-recursive (with feedback loops) and with multiple equations, e.g., y = x1 + x2 + z x1 = m1 + m2 + x2 + z x2 = n1 + n2 + x1 + z m1 = q1 + q2 + z m2 = p1 + p2 + z Here one would need reg3, but how would one ensure consistency of standard errors (in the presence of heteroskedasticity), apart from bootstrapping (and Roodman's -cmp- would not here as it is only for recursive systems)? Thanks, J. ____________________________________________________ Prof. John Antonakis, Associate Dean Faculty of Business and Economics Department of Organizational Behavior University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 Faculty page: http://www.hec.unil.ch/people/jantonakisPersonal page: http://www.hec.unil.ch/jantonakis____________________________________________________ On 06.02.2010 02:02, Kit Baum wrote: > <> > John wrote > How would one deal with systems of equations (i.e., reg3) and > concurrently have heteroskedastic-robust standard errors?  Would > bootstrapping with reg3 just be the simplest solution? > > > In the absence of cross-equation constraints, just estimate each equation with single-equation methods, i.e. -ivregress- or -ivreg2- using robust or cluster-robust VCE. Nothing is lost in doing so beyond a possible gain in efficiency. > > Kit > > Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html>                               An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html>    An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html> > > * > *   For searches and help try: > *   http://www.stata.com/help.cgi?search> *   http://www.stata.com/support/statalist/faq> *   http://www.ats.ucla.edu/stat/stata/>   * *   For searches and help try: *   http://www.stata.com/help.cgi?search*   http://www.stata.com/support/statalist/faq*   http://www.ats.ucla.edu/stat/stata/