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st: AW: Stata ivreg2 question


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: Stata ivreg2 question
Date   Wed, 17 Jun 2009 13:42:30 +0200

<> 


The term "excluded" does not mean "dropped", if you wanted to imply that, it
merely says that these instruments do not appear in the second stage. Add
the "first" option to the -ivreg2- call to see that...

*************
use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta
xi i.year
ivreg2 lw s expr tenure rns smsa _I* (iq=med kww age mrt), first
*************



HTH
Martin

-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von F.Li3@lse.ac.uk
Gesendet: Dienstag, 16. Juni 2009 19:11
An: statalist@hsphsun2.harvard.edu
Betreff: st: Stata ivreg2 question

Dear sir/madam,

I am using ivreg2 to do an iv regression. I am a bit confused about the
syntax and the result. My code for the regression is as follows:

ivreg2 dlrxpmnpc drmnincpc dwave2 dwave3 dwave4 dwave5 dwave6 dwave7 dwave8
dwave9 dwave10 dwave11 nkids nwage (lagsaved lagj2pay =  saved_1 j2pay_1)

'lagsaved' and 'lagj2pay' are intended to be the endogenous variables and
'saved_1' and 'j2pay_1' are my instruments. However, in the results,
'saved_1' and 'j2pay_1' are marked as excluded instruments while other
regressors are marked as included instruments. I am not sure why the two
instruments are dropped or is there any error about my code. It will be
greatly appreciated if you can give me some advice.

 Thank you very much.

 Yours sincerely,

 Feifei Li


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