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st: some questions on ivreg2


From   "Andrea Molinari" <A.Molinari@sussex.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: some questions on ivreg2
Date   Mon, 24 Oct 2005 12:25:03 +0100

Dear Statalisters,

I have a dataset with 420 pairs of countries over 22 years. As a first step,
I estimate a pooled OLS model to test for the endogeneity of three of my
regressors. I have encountered some problems, which I could not solve with
the -ivreg2- help or Baum, Schaffer and Stillman (2003) article. I list some
of these problems or questions below, and would really appreciate any
ideas/suggestions/comments.

1. When I use the option -orthog- to test for the exogeneity of the
instruments, and get the following message:

Collinearity/identification problems in restricted equation:
  C statistic not calculated for orthog option

I tried including only the excluded exogenous variables, and these together
with the included (exogenous) regressors, but got the same message in both
cases.

2. Some of the postings suggest to use the -small- option, and I was
wondering what would be a rule of thumb to consider one's sample as 'small'.
I've got 9041 observations in my panel, but will use a maximum of 420 when I
run year-cross sections...

3. I received the notification of an improvement in the -ivreg2- ado, but
after updating it (using -ssc install ivreg2, replace-), when I type:

help ivreg2

I get the same help file as before. the system only seems to find the
previous file (st0030_1) and it says that it's already installed.

Am I doing something wrong here?


Many thanks in advance for your comments!
Andrea

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