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st: collinear included instruments

From   Kit Baum <>
Subject   st: collinear included instruments
Date   Sun, 6 May 2007 11:14:15 -0400

sacrificial lamb

Dipa said

Using ivreg2, stata9 automatically drops the excluded instruments first whenever they are collinear with the included instruments. Can anyone tell me how to do the reverse, that is, I want to retain the excluded instruments and drop the included instruments? I realize that the nocollin option stops searching for collinearities, but i want to include only the excluded instruments in the first stage and drop some of the included instruments from the first stage. Is there a way of doing it?

The authors of -ivreg2- went to considerable effort to ensure that it _would_ do what you do not want it to do. We believed that the specification of the model -- which variables are in the regressor list -- should remain intact, changing the list of excluded instruments where needed to prevent altering the specification. If you don't want that behavior, then remove the offending included instruments from the regressor list.

Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

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