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Re: st: ivreg


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ivreg
Date   Thu, 31 Oct 2002 12:07:36 -0000

Peter,

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 
regressions.

There's a Stata FAQ on precisely this:

http://www.stata.com/support/faqs/stat/ivreg.html

Hope this helps.

--Mark

Date sent:      	Thu, 31 Oct 2002 12:49:40 +0100
From:           	"Peter Haan" <phaan@diw.de>
To:             	statalist@hsphsun2.harvard.edu
Subject:        	st: ivreg
Send reply to:  	statalist@hsphsun2.harvard.edu

> 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
Director
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
http://www.som.hw.ac.uk/cert
*
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*   http://www.ats.ucla.edu/stat/stata/



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