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st: treatreg (rho=1) and ivreg ( negative model SS)
I have two questions which had been posted previously
but not answered yet. I believed they are related.
(1) I ran a treatment effect model using ML and
two-step procedure. The estimated coefficient for rho
is quite different (0.5385326 by ML and 1.00000 by
two-step) and the lamda no longer equals to rho
times sigma in the two-step results.
(2) I also ran a iverg (ivreg2) with robust option for
my dada. The results show that the model SS is
negative in ivreg (negative centered and uncentered
R-square in ivreg2 ) Related analysis indicate that
the first stage F statistic is low (2.6 for a single
endogenous variable with 5 excluding instruments),
indicating there may be weak instrument problem); The
over-identifying restrictions test however shows
that it can not be rejected.
I just do know whether they are attributed to program
bugs or model mis-specifications. If it is the
latter case then what might go wrong during the
calculations (or what kind of model mis-specification
might have contributed to this) ?
Thank you for your kind help in advance.
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