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st: LIML xtivreg2


From   Filipa de Castro <filipa.castro@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: LIML xtivreg2
Date   Fri, 2 Oct 2009 19:30:03 -0500

Dear all,

I am estimating a model with one endogenous variable (hasmigr_US) and
around 20 instruments using xtivreg2.

xtivreg2 goschool   edad indchild oldest child45 child6 lowsixfam
edumam1 edumam2 edumam35 edumam68 edumam912 mommarried  madrejefefam
ownhome  survfam  madremigfam smalltown divorcesep agricolaheadspouse
ctapropheadspouse oladummy (hasmigr_US=   instrl* instrpi* instrac2*)
if sex==2 & edad_10_13==1, fe i(ident ) liml

Having failed Cragg/Donald WALD F test I decided to use LIML option
which supposedly is robust for weak instruments.

After re-running the model with LIML option, Cragg/Donald Wald F test
and the other tests are ok, but I get some quite odd and unrealistic
coefficient for the endogenous variable (right sign but wrong
(impossible) level).

What´s happening? Can you suggest what´s wrong or any other option to
deal with weak instruments.
many thanks
Filipa

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