[R] ivreg with two endogenous variables and 1 instrument respectively

stefania innocenti innocenti at merit.unu.edu
Tue Mar 8 22:31:45 CET 2016

I am trying to use the ivregress function to estimate a second stage model which looks like the following:


I would like to instrument Rule (RULE) with Settler mortality (SETTLER) and Openness (OPENNESS) with logFrankelRomer (FR). I thus have one instrument per each endogenous variable.

Thus the second stage look like:

Can I do this simultaneously with the ivregress function?

Maybe I got something wrong with the syntax but if I do:
ivregress(logGDP ~RULE+GEO+OPENNESS, c(RULE~SETTLER+FR+GEO, OPENNESS~SETTLER+FR+GEO), mydata), the function bugs and I cannot proceed. 
Of course, I could run the two first stages separately, but the coefficient of the first stage are then wrong. 

The command ivreg(logGDP ~ RULE + GEO +OPEN| GEO + SETTLER+FR) gives me correct second stage coefficients (I checked with what I obtained doing the 2sls by hand). 

But how do I retrieve the first stage coefficients for RULE=GEO+logFR+SETTLER and  OPENNESS=GEO+logFR+SETTLER in this case?

Any advice is more than appreciated.
Thanks a lot in advance. 
Best regards, 

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