3SLS regression is used to address the endogeneity between a set of IV and DV using full information method rather than using instruments in 2SLS. This blog provides the codes and tutorial for the 3SLS regression with its diagnostics
The tutorial is available at https://youtu.be/w7aMKkA0c7g
Following are the codes:
clear
use “E:\UMT notes\MPhil – MS courses\Applied Econometrics\lectures applied econometrics\lecture 4\3sls regression\klein.dta”, clear
reg3 (consump wagepriv wagegovt) (wagepriv consump govt capital1), first ireg3
*ssc install lmareg3
lmareg3
*ssc install lmhreg3
lmhreg3
*ssc install lmnreg3
lmnreg3