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st: re: ivreg2 running OLS not 2SLS


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: ivreg2 running OLS not 2SLS
Date   Thu, 20 Sep 2007 11:05:39 -0400

Nirina said

I run ivreg2 and it is telling me that my endogenous variable is
collinear with the instruments and then it is running OLS but still
reporting Sargan test of overid.

I find it wierd since this is what I would have expected it to do:

drop the collinear variables from the list of instruments and then
still run 2SLS. Could anyone please help on what could be the trick?

Per the Statalist FAQ, Nirina should show us her commands and the resulting output. Otherwise it is hard to conjecture what might cause the reported behavior.


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html

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