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Re: st: Question about reg3/ivreg--endogeneity issue


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Question about reg3/ivreg--endogeneity issue
Date   Mon, 11 Oct 2004 13:53:26 +0100

Christer,

Subject:        	st: Question about reg3/ivreg--endogeneity issue
To:             	statalist@hsphsun2.harvard.edu
From:           	Christer.Thrane@hil.no
Date sent:      	Mon, 11 Oct 2004 12:29:52 +0200
Send reply to:  	statalist@hsphsun2.harvard.edu

> Hei,
> 
> I have estimated the model:
> 
> xi: reg3 (logint  X logZ) (logZ i.type i.firm i.type2 i.busi), first
> 
> where my primary aim is to get consistent estimates of X and (the
> endogenous) logZ on logint. My problem is that X is NOT endogenous, at
> least not theoretically. But when I look at the second of the first-stage
> regressions I see that the variable X (by default?) is used as an
> explanatory variable of logZ as well.

That's how IV/2SLS and 3SLS work.  All exogenous variables show up in 
all the first-stage regressions.  This point comes up regularly on 
Statalist, e.g., Kit Baum's postings:

http://www.stata.com/statalist/archive/2003-08/msg00079.html
http://www.stata.com/statalist/archive/2002-09/msg00098.html

or the Stata FAQ:

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

> If possible, how can I get the ceteris paribus effect of X on logint
> (adjusted for logZ only) in the present context?

Perhaps I misunderstand the problem, but this is what the coeff on X 
will tell you if you estimate using reg3 or ivreg.

Hope this helps.

--Mark


> By the way, the use of
> ivreg instead of reg3 creates the same problem.
> 
> Best regards,
> 
> Christer
> 
> --
> Christer Thrane, dr.polit.
> Associate Professor, Sociology
> Department of Social Science
> Lillehammer University College
> 2626 Lillehammer, Norway
> + 47 61 28 81 70 (fax)
> + 47 61 28 82 47 (phone, work)
> + 47 61 25 68 44 (phone, home)
> + 47 92 29 54 39 (mobile)
> 
> E-mail, work: christer.thrane@hil.no
> 
> 
> 
> *
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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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