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st: ivreg2 - some basic clarifications please!
I an very new to instrumenting and have run fairly simple regressions
with cross-section data before. I need to instrument a variable and
would be grateful for some clarifications about things that may seem
very obvious to you.
1. Is ivreg2 only for use with panel or time series data? Can I use it
to instrument a regression with cross-section data? It is not quite
clear in the help file.
2. Is the Sargan test reported only relevant for panel data analysis?
Can it be used for testing over-identification in cross-section
3. What is the test of excluded instruments that ivreg2 reports? Is it
the Stock and Yogo test?
I tried instrumenting with ivreg and it didn't report an R-squared for
the 2-SLS regression. Can't figure out why. So I thought I would try
ivreg2, if possible.
I am sorry if these questions seem stupid, but would appreciate your help.
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