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st: re: simultaneous equations


From   Kit Baum <kitbaum@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: simultaneous equations
Date   Fri, 27 Feb 2009 10:54:50 -0500

<>
Nick said

With coefficients of the order of 1e8 there seems to be a massive
problem with the data. Look (again?) at the data, e.g. using a scatter
plot matrix. There could be a substantial outlier, or some built-in
dependency, or something else. Whatever it is, it is not obvious that
any model can make sense of the predictor set you are using.

Nick
n.j.cox@durham.ac.uk

mmolina@uniroma3.it

As you adviced me I tried ivregress 2sls ... and obtained:

ivregress 2sls expshare b2b l1 age l4a (normscore = l11a l10),
note: l10 dropped because of collinearity

Instrumental variables (2SLS) regression               Numbe


MMolina did not follow my advice to examine the first stage regressions in a 2SLS context. I still contend that whatever is overwhelmingly screwy might be found by that examination. I had advised using ivreg, first, but ivregress 2sls , first will work as well.

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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