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From |
Anson Soderbery <asoderbe@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Re: Suppressing the Constant in the First Stage with ivreg2 |

Date |
Wed, 17 Jun 2009 16:47:06 -0700 |

Anson On Jun 17, 2009, at 4:00 AM, Kit Baum wrote:

<>I don't think so. The FSRs are projecting each one of the endogenousvariables on all of the instruments, included and excluded. If youinclude a variable that takes on a constant value in the regressionof interest (by doing, e.g., ivreg2 y iota (y2=z1 z2), noco, whereiota=1), ivreg2 will properly include iota in the instrument list,and the FSR will contain iota as an explanatory variable. That is asit should be; if the vector of ones appears in the main regression,it must be an instrument in the projection of the endogenous vars onall of the instruments. So the issue is not whether ivreg2 will doit, but whether there is any theoretical justification for doing so.I think not.Kit Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.htmlAn Introduction to Stata Programming| http://www.stata-press.com/books/isp.htmlAn Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html On Jun 17, 2009, at 02:33 , Anson wrote:I have a particular model where I need to suppress the constant term from the first stage estimation of a two stage model using Fuller's technique. As many of you know ivreg2 is a great plug in for implementing this estimation, and I would like to stick with it (rather than coding my LIML problem by hand). Is it possible to suppress the constant in the first stage, and include it in the second? Thank you all.* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Re: Suppressing the Constant in the First Stage with ivreg2***From:*Kit Baum <baum@bc.edu>

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