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Re: st: ivreg

From   "Mark Schaffer" <>
Subject   Re: st: ivreg
Date   Thu, 31 Oct 2002 12:07:36 -0000


This isn't how 2SLS aka IV works.  If you were doing 2SLS "by hand", 
you have to use ALL your exogenous variables in ALL the 1st stage 

There's a Stata FAQ on precisely this:

Hope this helps.


Date sent:      	Thu, 31 Oct 2002 12:49:40 +0100
From:           	"Peter Haan" <>
Subject:        	st: ivreg
Send reply to:

> Hi,
> I have a question concerning 2SL2 estimation with several instrumented variables.
> my idea is to do the following
> ivreg y k (x= d f) (z= r g), instrumenting x with d and f  and z with r and g
> however as far as I understand stata, the program suggests to do the following:
> ivreg y k (x z= d f r g), meaning that I have to instrument x and z with the same variables d f r g.
> An other way could be to estimate the predicted x and z and then to use the predicted values in the second step.
> Then I had to correct for the standar errors. 
> My problem is that in fact I want to instrument not only 2 varaibles( x and z), but 24 variables.
> thanks fpr you advise
> Peter
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Prof. Mark E. Schaffer
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
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