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st: Re: ivreg syntax


From   baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: ivreg syntax
Date   Fri, 12 Jul 2002 09:51:55 -0400

--On Friday, July 12, 2002 2:33 -0400 Tesfayi wrote:

For instance, for two endogenous variables y1 and y2,
if I have instruments z1 z2 z3 for y1 and z4 and z5
for y2, how do I write the ivreg command? Is the
following syntax ok:

ivreg y x1 x2 .. (y1 y2 = z1 z2 z3 z4 z5)? Does ivreg
recognize that z1 z2 z3 are instruments for y1?
Yes. But you should not speak of 'these instruments for those endogenous variables'. ivreg, like any proper implementation of instrumental variables, projects each of the endogenous on ALL of the instruments -- which include, in your case, x1, x2, z1, z2, z3, z4, z5, and 1. There is no sense in which some of those instruments apply to some of the endogenous variables.

Kit Baum
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