数据实例
klein.dta文件，见百度网盘链接链接：/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。
{consumpt=α0+α1wageprivt+α2wagegovtt+utwageprivt=β0+β1consumpt+β2capitalt+govt\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
consumpt、wageprivt是内生变量，wagegovtt、govt、capitalt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。
