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What is Understanding 3SLS Regression in Stata about?

3SLS is a technique used to estimate systems of equations simultaneously when the error terms across equations are correlated. It combines 2SLS and SUR by using instrumental variables to account for endogeneity, while also modeling the covariance structure of the error terms like SUR. The example estimates a 3-equation system using 3SLS, showing the coefficients and statistics for each equation. It also stores the covariance matrix of the error terms in a new matrix called sig to examine the correlations ac

Author

.cadeau01

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EN