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Re: st: some questions on ivreg2

From   "Mark Schaffer" <>
Subject   Re: st: some questions on ivreg2
Date   Mon, 24 Oct 2005 13:18:10 +0100 (BST)


Which version of -ivreg2- do you have?  In Stata, type

which ivreg2

to find out.  It should be 2.1.09; if it isn't, you don't have the most
up-to-date version.

It's possible that you are clicking on the wrong package when you get the
list from -findid ivreg- (a common mistake).  st0030_1 is only the last
software update announced in the Stata Journal.  Further down the list
you'll see "ivreg2 from";, which is the
latest version.


> 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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Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294



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