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st: How to obtain residuals from the first stage for 2 endogenous variables using -ivreg-?


From   Bo MacInnis <bo@macinnis.org>
To   statalist@hsphsun2.harvard.edu
Subject   st: How to obtain residuals from the first stage for 2 endogenous variables using -ivreg-?
Date   Thu, 03 Nov 2005 14:13:13 -0800

Hi,

I would really appreciate if you would help me on the following problem. I have the following equation:

ivreg y (x1 x2 = z1 z2) X

that is, I use z1 to instrument x1 and z2 to instrument x2.

Now I want to test the endogeneity of x2. I am not worried about x1 at this point.

One option is to use the argmented regression (Davidson and MacKinnon, reference A-J page 541).
My question is: how to obtain the residuals from the first stage for x1 and x2 after running the above -ivreg- ?

Another option, which I am not so sure is correct, is to do the following:
ivreg y (x1 x2 = z1 z2) X
est store myest1

ivreg y (x1 = z1) x2 X
est store myest2

test whether the coefficient of x1 in estimates myest1 and myest2 differ by a basically t-stat.

My question: is the above test testing for whether I should model x2 as endogenous? should I test for the entire set of coefficients?

Your generous help is very very much appeciated. I am grateful to your attention and help!
Bo MacInnis
UC Berkeley

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