log using c:\gs3sls.smcl , replace
clear all
sysuse gs3sls.dta, clear

* (1) Spatial Autoregressive Generalized Least Squares (SPGLS)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(spgls)

* (2-1) Generalized Spatial 2SLS - AR(1) (GS2SLS)

gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(2sls) order(1)

gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(2sls)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(melo)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(liml)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(kclass) kc(0.5)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(fuller) kf(0.5)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(gmm) hetcov(white)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(gmm) hetcov(bart)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(gmm) hetcov(dan)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(gmm) hetcov(nwest)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(gmm) hetcov(parzen)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(gmm) hetcov(quad)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(gmm) hetcov(tent)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(gmm) hetcov(trunc)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(gmm) hetcov(tukeym)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(gmm) hetcov(tukeyn)

* (2-2) Generalized Spatial 2SLS - AR(2) (GS2SLS)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(2sls) order(2)

* (2-3) Generalized Spatial 2SLS - AR(3) (GS2SLS)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(2sls) order(3)

* (2-4) Generalized Spatial 2SLS - AR(4) (GS2SLS)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(2sls) order(4)

* (3-1) Generalized Spatial Autoregressive 2SLS - AR(1) (GS2SLSAR)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(2sls) order(1)

* (3-2) Generalized Spatial Autoregressive 2SLS - AR(2) (GS2SLSAR)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(2sls) order(2)

* (3-3) Generalized Spatial Autoregressive 2SLS - AR(3) (GS2SLSAR)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(2sls) order(3)

* (3-4) Generalized Spatial Autoregressive 2SLS - AR(4) (GS2SLSAR)
gs3sls y x1 x2 , wmfile(SPWcs) wmat(W) eigw(eW) model(gs2sls) run(2sls) order(4)

* (4-2) Generalized Spatial 3SLS - AR(2) (GS3SLS)
gs3sls y x1 x2 , var2(y2 x2) wmfile(SPWcs) wmat(W) eigw(eW) model(gs3sls) order(2)

* (4-3) Generalized Spatial 3SLS - AR(3) (GS3SLS)
gs3sls y x1 x2 , var2(y2 x2) wmfile(SPWcs) wmat(W) eigw(eW) model(gs3sls) order(3)

* (4-4) Generalized Spatial 3SLS - AR(4) (GS3SLS)
gs3sls y x1 x2 , var2(y2 x2) wmfile(SPWcs) wmat(W) eigw(eW) model(gs3sls) order(4)

* (5-2) Generalized Spatial Autoregressive 3SLS - AR(2) (GS3SLSAR)
gs3sls y1 x1 x2 , var2(y2 x2) wmfile(SPWcs) wmat(W) eigw(eW) model(gs3slsar) order(2)

* (5-3) Generalized Spatial Autoregressive 3SLS - AR(3) (GS3SLSAR)
gs3sls y1 x1 x2 , var2(y2 x2) wmfile(SPWcs) wmat(W) eigw(eW) model(gs3slsar) order(3)

* (5-4) Generalized Spatial Autoregressive 3SLS - AR(4) (GS3SLSAR)
gs3sls y1 x1 x2 , var2(y2 x2) wmfile(SPWcs) wmat(W) eigw(eW) model(gs3slsar) order(4)

* (1) Spatial Autoregressive Generalized Least Squares (SPGLS) (Cont.)
* This example is taken from Prucha data about:
* Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model  
* More details can be found in: http://econweb.umd.edu/~prucha/Research_Prog1.htm
* Results of model(spgls) is identical to:
* http://econweb.umd.edu/~prucha/STATPROG/OLS/PROGRAM1.log
 clear all
 sysuse gs3sls1.dta , clear
 gs3sls y x1 , wmfile(SPWcs1) wmat(W) eigw(eW) model(spgls)

* (2) Generalized Spatial Autoregressive 2SLS (GS2SLSAR) (Cont.)
* This example is taken from Prucha data about:
* Generalized Spatial Two-Stage Least Squares Procedures for Estimating
* a Spatial Autoregressive Model with Autoregressive Disturbances
* More details can be found in: http://econweb.umd.edu/~prucha/Research_Prog2.htm
* Results of model(gs2slsar) with order(2) is identical to:
* http://econweb.umd.edu/~prucha/STATPROG/2SLS/PROGRAM2.log
 clear all
 sysuse gs3sls2.dta , clear
 gs3sls y x1 , wmfile(SPWcs2) wmat(W) eigw(eW) model(gs2slsar) run(2sls) order(2)

* (3) Generalized Spatial Autoregressive 3SLS (GS3SLSAR) (Cont.)
* This example is taken from Prucha data about:
* Estimation of Simultaneous Systems of Spatially Interrelated Cross Sectional Equations
* More details can be found in: http://econweb.umd.edu/~prucha/Research_Prog4.htm
* Results of model(gs3slsar) with order(2) is identical to:
* http://econweb.umd.edu/~prucha/STATPROG/SIMEQU/PROGRAM4.log

 clear all
 sysuse gs3sls3.dta , clear
 gs3sls y1 x1 , var2(y2 x2) wmfile(SPWcs3) wmat(W) eigw(eW) model(gs3slsar) order(2)

log close