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st: re: instrument variable issues in xtivreg


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: instrument variable issues in xtivreg
Date   Sat, 5 Apr 2008 11:57:38 -0400

Srini said

xtivreg mort_rate adj_dist_vacc_rate (lag_vacc_rate = lag2_inpatient_rate lag3_inpatient_rate) if province == "A", fe first small

However, in the first stage, STATA uses all three variables, adj_dist_vacc_rate, lag2_inpatient_rate and lag3_inpatient_rate, as instruments. I do not want this to occur. Is there a way I can avoid this issue?


No; this is a FAQ. The theory of single-equation instrumental variables estimation states that each endogenous variable is regressed on all instruments, included and excluded (including a constant term if one appears in the equation). You are getting exactly what you should.

http://www.stata.com/support/faqs/stat/ivreg.html


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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