Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: re: ivreg2 question


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
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
appreciated.


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   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html

*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index