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st: how to understand the goodness of instruments


From   "alessia matano" <alexis.rtd@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: how to understand the goodness of instruments
Date   Thu, 24 May 2007 11:23:21 +0200

Hi,

I would like to ask you one thing on the goodness of instruments.
I have six variables that I consider endogeneous. I m doing the first
stage with xtivreg. and I would like to ask you:

1. Is that correct to instrument each one with its own instrument and
with the exogeneous ones (correcting then the standard errors)? i.e .
not using in the first stage the instruments related to the other
variables (I am afraid on problems of possible multicollinearity).

2. If I run the first stage regression with only the exogeneous and
then with the exogeneous and the instruments, I can I see if the
instrument is good in that case??

how should I compare the r squared?

Thanks a lot
alessia
p.s. my regression is done in fixed effects, with aweights, because
some of the variables come from a microlevel collapse (my dependent
var overall, but not my independent of interest)
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