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st: treatreg (rho=1) and ivreg ( negative model SS)

From   Richard Lo <>
Subject   st: treatreg (rho=1) and ivreg ( negative model SS)
Date   Thu, 1 Mar 2007 12:13:19 +0000 (GMT)

Hello everyone,

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.

Richard Lo

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