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Re: st: ivreg2


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ivreg2
Date   Tue, 15 Nov 2005 23:39:13 -0000 (GMT)

Daniel,

> Hi - I have a couple of questions about ivreg2 and associated
> endogeneity/exogeneity tests.
>
> 1. I want to assess whether a particular variable, xstar, is endogenous,
> so I run:
> ivreg2 y xstar (=instrument1 instrument2) other variables, orthog(xstar).
> the C-statistic allows me to assess endogeity of xstar. Is that correct?
> This should give me the equivalent results as doing
> ivreg y (xstar=instrument1 instrument2) other variables,  followed by
> ivendog star.
> is that correct?

Yes (though I think you mean -ivendog xstar-).

>
> 2. If so, then I am not sure why I am having the following problem.
>
> I run
> ivreg2 y xstar (=instrument1 instrument2) other variables, orthog(xstar)
> cluster(id).
>
> In other words, I have simply added the cluster option. When I do so,
> stata
> tells me:
> Collinearity/identification problems in restricted equation: C statistic
> not calculated for orthog option.
>
> I only have this problem when I include the cluster option on ivreg2.

The C-stat works here by comparing two estimations, one with xstar
exogenous and one with it endogenous:

ivreg2 y xstar (=instrument1 instrument2) other variables

ivreg2 y (xstar=instrument1 instrument2) other variables

Something is going wrong with the latter estimation.  Try estimating it
explicitly with the cluster option and see what the error message is.

Hope this helps.

--Mark

> what am I doing wrong? thanks. Daniel
>
>
>
>
> Daniel Simon
> Assistant Professor
> Department of Applied Economics and Management
> Cornell University
> (607) 255-1626
>
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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
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes



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