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From |
"Mark Schaffer" <M.E.Schaffer@hw.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Thu, 3 Nov 2005 22:50:23 -0000 (GMT) |

Bo, > 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. As Kit Baum has pointed out on Statalist a number of times, this is a misconception. x1 and x2 are projected onto both z1 and z2. You can't really say, in a single-equation context, that z1 is an instrument for x1 but not x2. > Now I want to test the endogeneity of x2. I am not worried about x1 at > this point. If you download and install -ivreg2-, e.g., from within Stata ssc install ivreg2 then you can do an endogeneity test very simply with ivreg y x2 X (x1 = z1 z2), orthog(x2) The idea is that x2 is treated as exogenous, but is tested against a specification that where it is endogenous. Alternative, you can download and install -ivendog- in the same way, and after your -ivreg- or -ivreg2- estimation, test the endogeneity of x2 with ivendog x2 Cheers, Mark > 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 > > * > * 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/ > 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 email: m.e.schaffer@hw.ac.uk web: http://www.sml.hw.ac.uk/ecomes __________________________________________________________________ DISCLAIMER: This e-mail message is subject to http://www.hw.ac.uk/disclaim.htm __________________________________________________________________ * * 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/

**References**:**st: How to obtain residuals from the first stage for 2 endogenous variables using -ivreg-?***From:*Bo MacInnis <bo@macinnis.org>

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