Estimation system of simultaneous equations

Question

I am trying to estimate the following system of simultaneous equations with 3 endogenous variables using R:

y~a+B
B~c+D
D~f+g

Actually I am trying to repeat results from Stata. The code in Stata using 3SLS method is

reg3 (y=a B) (B=c D) (D=f g)

In R I am using systemfit package.

library("systemfit")
systemfit(data, list(y~a+B, B~c+D,D~f+g), method = "3SLS")

But this function is requested instrument variables for 3SLS estimation.

What did I do wrong? Thanks in advance.

Answer 1

You need to use inst argument. More can be found in the vignette of the systemfit package. It has some very good examples. You can have a look at Klein model replication in the vignette.