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From |
"Austin Nichols" <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: question about (my) ivreg |

Date |
Sun, 11 Nov 2007 11:25:33 -0500 |

The help files for -ivreg2- and -xtivreg2- have a lot of worked examples using real data. There is also a discussion at http://pped.org/stata/ciwod.pdf, page 14, that has a cross-sectional example: use http://fmwww.bc.edu/ec-p/data/wooldridge/card, clear loc x "exper* smsa* south mar black reg662-reg669" reg lw educ 'x' ivreg2 lw 'x' (educ=nearc2 nearc4), first endog(educ) ivreg2 lw 'x' (educ=nearc2 nearc4), gmm ivreg2 lw 'x' (educ=nearc2 nearc4), liml but note from the earlier discussion in that paper and the papers describing -ivreg2- that you do not run two regressions in practice, and that all the exogenous regressors (x, presuming g is a fixed effect and w is an error term) in your example are included in the first stage. So, making a dataset with names that match yours: webuse psidextract, clear ren lw h ren wks d ren union x ren occ z and comparing the naive two-stage estimator and the correct one-step estimator: xtreg h d x z, fe i(id) g ok=e(sample) xtreg d x z if ok, fe i(id) predict dhat if ok xtreg h dhat x if ok, fe i(id) xtivreg h x (d=z), fe i(id) should produce identical point estimates but very different inferences. The last line is the "string" you requested, but I prefer xtivreg2 h x (d=z), fe i(id) cl(id) for reasons discussed in http://pped.org/stata/ciwod.pdf, and elsewhere. On Nov 11, 2007 5:40 AM, <robertjbrienza@aol.com> wrote: > I have a panel (cross-section time-series) of firm data and I need to > implement the following empirical model, by two-stage least squares. > > D_it = x_it z_it f_i u_it > H_it = D*_it x_it g_i w_it > > where: > > 1) x_it - is a set of regressors (hopefully) significant to both > equations > 2) z_it - is a set of regressors that are (hopefully) significant in > the determination of the first equation but not in the determination of > the second. > 3) D*_it - is the set of estimated values of D_it, from the first > equation. > > My problem is that the vector "x_it" is common to both equations! So, I > need to know how to set the model in Stata, with particular reference > to the implementation of instruments by ivreg (and/or ivreg2). I'm a > primer, and an example with the string to use would be of help for me. > Many thanks for your attention. > > Regards, > > Robert * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: question about (my) ivreg***From:*robertjbrienza@aol.com

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