Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Collinearity in 2SLS


From   Tinna <statalist@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Collinearity in 2SLS
Date   Thu, 15 Sep 2005 17:17:15 -0400

Or is my problem maybe called somehtign other then collinearity? That
would surely give me problems with my google search.
Tinna

On 9/15/05, Tinna <statalist@gmail.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?
> 
> Tinna
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index