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


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Help please: How to obtain residuals from the first stage for 2 endogenous variables using -ivreg-?
Date   Fri, 4 Nov 2005 12:13:20 -0000

This question, here repeated, has already been answered by Mark Schaffer. 

Nick 
n.j.cox@durham.ac.uk 

Bo MacInnis
> 
> 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!

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