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st: RE: first stage regressions in ivreg. Problems and using outreg, etc.


From   "Scott Merryman" <[email protected]>
To   <[email protected]>
Subject   st: RE: first stage regressions in ivreg. Problems and using outreg, etc.
Date   Sat, 18 Dec 2004 07:43:11 -0600

> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Hoetker, Glenn
> Sent: Friday, December 17, 2004 3:00 PM
> To: [email protected]
> Subject: st: first stage regressions in ivreg. Problems and using outreg,
> etc.
> 
> Hi all and help please.
> 
> I'm running ivreg and want to include the first stage regression in my
> output via outreg, mktab, or a similar program.
> 
> From Statalist, there appears to be no pre-packaged way to do so.
> However, one alternative that was suggested was to run the first-stage
> regression by itself and use that output in outreg, mktab, whatever.
> Not perfect, but better than doing it entirely by hand.
> 
> However, when I try to do this, I find that my manually run first-stage
> regression doesn't match was Stata reports when doing the ivreg.  I've
> made sure I'm running the command on the same sample. (See below).
> 
<snip>

Glenn,

You only report the same variables are being used, but are you sure it is
over the same sample.  If you dependent variable "common_action_new_pc" has
any missing observations than sample for the first stage will be restricted.
For example, compare the first stage results from -ivreg- to -reg- in the
following cases:

Case 1. 
sysuse auto
ivreg price mpg (weight = length), first
reg weight mpg length

Case 2.
replace price = . in 1/5
ivreg price mpg (weight = length), first
reg weight mpg length


Scott



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