klein.dta文件,见百度网盘链接链接:https://pan.baidu.com/s/1HDHgbIWvT-DAPJmw9BBNsA,提取码:1dkh
实现3SLS的Stata命令格式为
reg3 (depvar1 varlist1) (depvar2 varlist2)...(depvarN varlistN), ols 2sls sure ireg3 exog(varlist) endog(varlist) inst(varlist)ols表示进行OLS估计,2sls表示进行2SLS估计,sure表示进行SUR估计,默认是进行3SLS估计。ireg3表示进行迭代式3SLS估计。
{ c o n s u m p t = α 0 + α 1 w a g e p r i v t + α 2 w a g e g o v t t + u t w a g e p r i v t = β 0 + β 1 c o n s u m p t + β 2 c a p i t a l t + g o v t left {begin{array} {c} consump_t= alpha_0 + alpha_1 wagepriv_t + alpha_2 wagegovt_t + u_t \ wagepriv_t = beta_0 + beta_1 consump_t + beta_2 capital_t + gov_t end{array} right. {consumpt=α0+α1wageprivt+α2wagegovtt+utwageprivt=β0+β1consumpt+β2capitalt+govt
c o n s u m p t 、 w a g e p r i v t 是 内 生 变 量 , w a g e g o v t t 、 g o v t 、 c a p i t a l t 是 外 生 变 量 consump_t、wagepriv_t是内生变量,wagegovt_t 、gov_t、capital_t是外生变量 consumpt、wageprivt是内生变量,wagegovtt、govt、capitalt是外生变量
首先进行单一方程估计:
reg3 (consump wagepriv wagegovt)(wagepriv consump govt capital1), olsestimates store OLS单一方程2SLS估计:
reg3 (consump wagepriv wagegovt)(wagepriv consump govt capital1), 2slsestimates store Two_SLS单一方程3SLS估计:
reg3 (consump wagepriv wagegovt)(wagepriv consump govt capital1), firstestimates store Three_SLS迭代式3SLS估计:
reg3 (consump wagepriv wagegovt)(wagepriv consump govt capital1), ireg3estimates store Three_SLS_iter注:在部分数据集上面,迭代式3SLS会失败,因为会提前退出迭代,此时可以考虑只用3SLS,而不用迭代。
结果对比