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Re: st: re: ivreg2: No validity tests if just-identified?


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: ivreg2: No validity tests if just-identified?
Date   Sun, 19 Apr 2009 07:31:31 -0400

<>
They change substantially because, as I had suspected, you have reinvented the OLS estimator by imposing that constraint:

. reg lw s expr iq

Source | SS df MS Number of obs = 758 -------------+------------------------------ F( 3, 754) = 113.47 Model | 43.3251597 3 14.4417199 Prob > F = 0.0000 Residual | 95.9609902 754 .127269218 R-squared = 0.3111 -------------+------------------------------ Adj R-squared = 0.3083 Total | 139.28615 757 .183997556 Root MSE = .35675

------------------------------------------------------------------------------
lw | Coef. Std. Err. t P>|t| [95% Conf. Interval] ------------- +---------------------------------------------------------------- s | .0938797 .0068874 13.63 0.000 . 080359 .1074005 expr | .0458306 .0063546 7.21 0.000 . 0333558 .0583054 iq | .0042154 .0011107 3.80 0.000 . 002035 .0063958 _cons | 3.910948 .1099871 35.56 0.000 3.695031 4.126866
------------------------------------------------------------------------------




Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html



On Apr 19, 2009, at 02:33 , John wrote:

As for your question, yes, the estimates change substantially for the
second-stage equation (the first stage are, of course, unchanged):

                                                   Two-Tailed
                   Estimate       S.E.  Est./S.E.    P-Value
 LW       ON
   IQ                 0.004      0.001      3.805      0.000
   S                  0.094      0.007     13.667      0.000
   EXPR               0.046      0.006      7.231      0.000
   Cons               3.911      0.110     35.652      0.000

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