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st: checking strength of instruments


From   Baktigul Turdubekova <nezemno@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: checking strength of instruments
Date   Sat, 30 Oct 2004 07:21:35 -0700 (PDT)

Dear STATALIST,

I have taken lagged values of the regressors as
instrumental variables along with other instruments in
2SLS estimation with the following command:

ivreg loggdpgr (loggdp ciave cgave syr = lloggdp lcia
lcg lsyr syr)

where the instruments with l in front of the var.
names are lagged values of the regressors.

My estimation results seem to look better than in OLS
(t-statistics and Rsquared are larger). But I still
have doubts whether such a way of instrumenting is
correct. How can I check the validity of instruments
(F test) and also run the test for overidentifying
restrictions in STATA 7? I wanted to use ivreg2
instread of ivreg because the former shows the Sargan
test results in the output window automatically. But
there is no ivreg2 command in my STATA.

Thank you in advance!

Baktigul



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