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Re: st: checking strength of instruments


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Baktigul Turdubekova <nezemno@yahoo.com>
Subject   Re: st: checking strength of instruments
Date   Sun, 31 Oct 2004 20:11:44 +0000 (GMT)

Baktigul,

Quoting Baktigul Turdubekova <nezemno@yahoo.com>:

> 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.

You should be able to download and install ivreg2 in your Stata in the 
usual way.  From within Stata, try

findit ivreg2

and then follow the links to install.

If your Stata doesn't have an internet connection, you can install the 3 
ivreg2 programs by hand.  Just download them from SSC, e.g.,

http://econpapers.hhs.se/software/bocbocode/s425401.htm

into your ADO file.

--Mark

> 
> Thank you in advance!
> 
> Baktigul
> 
> 
> 
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Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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