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st: XTIVREG question


From   "Stephanie Zobay" <szobay@directvinternet.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: XTIVREG question
Date   Sat, 15 Jun 2002 16:21:05 -0400

Dear Listers,
 I am not understanding the difference between manually doing a 2SLS and
letting Stata do it with xtivreg.
 I estimated each of 2 endogenous variables separately, saving the predicted
values:

 xtreg srev2 unemp pctmdcaid pctprsner gsp2 popgrow
. predict srevhat
(option xb assumed; fitted values)

. xtreg lrev2 pcy1 tel pctschkid pctincpcrime taxbur
. predict lrevhat
(option xb assumed; fitted values)

Then I ran my regression using the predicted values for the endogenous
variables:
. xtreg staid2 srevhat lrevhat fdstss2 fdstot2 fedss2 fedoth2 lbal

The result I get is completely different than if I use:
xtivreg staid2 fdstss2 fdstot2 fedss2 fedoth2 lbal (srev2 lrev2 = unemp
pctmdcaid pctprsner gsp2 popgrow pcy1 tel pctschkid pctincpcrime taxbur
fdstss2 fdstot2 fedss2 fedoth2 lbal)

What is the difference and how do I know which result is correct?

Stephanie



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