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st: re: ivreg2 question

From   Kit Baum <>
Subject   st: re: ivreg2 question
Date   Sat, 24 Oct 2009 11:28:37 -0400

I am trying to run a IV estimation using ivreg2. I want include only a
subset of the exogenous regressors from the main equation in the
reduced form equation. It seems that ivreg2 does not allow this
option. Is there any way that'll work? Any suggestions are

This is a FAQ. As explained in Baum-Schaffer-Stillman 2003 (freely available from first URL) and IMEUS, single-equation (limited- information) estimation with instrumental variables requires that all of the exogenous variables in the regressor matrix also appear in the instrument matrix. The 'first stage' regressions involve projecting each endogenous variable on _all_ exogenous variables, including those in the equation. You don't get to pick and choose which included exogenous variables to use. This constraint is not imposed by ivreg2, ivregress or ivreg: it is imposed by econometric theory.

Kit Baum   |   Boston College Economics & DIW Berlin   |
An Introduction to Stata Programming |
   An Introduction to Modern Econometrics Using Stata  |

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