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st: IV with missing values

From   sara borelli <>
Subject   st: IV with missing values
Date   Tue, 22 Jul 2008 12:52:26 +0000 (GMT)

Dear All,

I am estimating the following regression:

y1= ax + by2 + u
where y2 is endogenous and I am using some varaible z as identifying instrument

y1, x, z are osberved for the whole sample, but y2 is missing for 30% of observations.
If I use ivreg, stata estimates the model only on the non-missing observations. But I need to estimate the model on the whole sample.
Therefore I explicitly performed the two steps  separately, predicting y2 in the first stage for the whole sample and inserting it into the second stage. But I know the standard errors may be biased. Does anyone know a way to estimate this correctly?

Thank you for any help
Sara Borelli 

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