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Re: st: re: ivreg2 running OLS not 2SLS


From   "Nirina F" <fstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: ivreg2 running OLS not 2SLS
Date   Thu, 20 Sep 2007 12:11:55 -0400

I agree with you Austin.
But now that I know that the endogenous was collinear with  ded12
ded13, then  how can I tell Stata to drop those two variables so that
I can then run:

 ivreg2 lwage exper expersq (educ= ded1 ded2 ded3 ded4 ded5 ded6 ded7
ded8 ded9 ded10 ded11)

Thanks in advance for your help

On 9/20/07, Austin Nichols <austinnichols@gmail.com> wrote:
> Nirina--
> If all your excluded instruments are dropped in the "first-stage"
> regression, the IV estimate is the OLS estimate. If Z is collinear
> with X, you do not have excluded instruments!
>
> use http://fmwww.bc.edu/ec-p/data/wooldridge/mroz.dta
> qui tab educ, gen(ded)
> ivreg2 lwage exper expersq (educ=ded*)
> reg lwage exper expersq educ
>
> On 9/20/07, Kit Baum <baum@bc.edu> wrote:
> > 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.
> >
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