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Re: st: Collinearity in 2SLS
Or is my problem maybe called somehtign other then collinearity? That
would surely give me problems with my google search.
On 9/15/05, Tinna <email@example.com> wrote:
> Dear Statalisters,
> I am running 2SLS estimations. The instrument used in the first stage
> is quite good according to traditional standards and tests and its
> coefficient in the first stage regression is highly significant.
> HOWEVER, the coefficient although significant is very small. I think
> this is causing collinearity (if it can be called that in this context
> - makes sense to me). The instrumented coefficient in the second stage
> is blowing up big time. However, it is significant and my
> Durbin-Wu-Hausman test is indicating endogeneity, so that the 2SLS
> would really be what is called for.
> 1. Someone told me that I could still trust the sign on the
> instrumented coefficient, although it is blown up. This "someone"
> says they read it "somewhere" but are not sure where. I have reached
> the end of the Internet without finding much. Can I trust the sign of
> the instrumented coefficient?
> 2. Can I trust my Durbin-Wu-Hausman test?
> 3. Any suggestion for what I should do?
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