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st: -ivreg2-how to instrument multiple endogenous variables


From   Nirina F <fstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: -ivreg2-how to instrument multiple endogenous variables
Date   Tue, 2 Jun 2009 14:32:56 -0400

Hello,
I run in stata ivreg2 to instrument four mutually exlcusive
indicators. I had four instrumental variables so I got some results
but I have no idea how to interpret the underidentification and weak
instrument test. When I increase the number of instruments, I get the
hansen's J but agian, what does it mean now?
Does anyone know how I should deal with multiple endogenous variables?

A second question, the coefficients  I get from OLS on these four
variables are proportionately higher than in 2SLS, meaning
ols
var1 0.2
var2 0.3
var3 0.5
var4 0.5
in 2SLS
I got
var1 0.4
var2 0.4
var3 0.6
var5 0.7

Thank you in advance,
Nirina
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