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st: accessing first stage results in xtivreg2

From   "Craig A. Depken, II" <>
Subject   st: accessing first stage results in xtivreg2
Date   Thu, 08 Feb 2007 15:50:17 -0600

I am frustrated in searching the FAQ for the answer to my question. If I have missed the relevant post, I apologize.

I am estimating a linear model in xtivreg2 with the following structure

xtivreg2 y1 (y2 = z1 z2) x1-x10;

I want to calculate the net impact of a change in, say, x2 on y1, e.g.,

dy1/dx2 = (a2) *g2 + b2

where a2 is the parameter estimate of x2 in the first stage regression, g2 is the parameter estimate on x2 from the second stage regression, and b2 is the
parameter estimate on x2 in the second stage regression.

The results of the first-stage regression can be viewed using the `first' option in xtivreg2, but is it possible to access the results from the first-stage regression for use in a lincom command? Specifically, I want to calculate the point estimate and 95% confidence interval of the net impact of x2 on y1. From what I have been able to clean from the manuals, the results of the first-stage are dropped.

Thanks in advance,


Craig A. Depken, II
Department of Economics
University of Texas at Arlington
Arlington, TX 76019

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