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st: 2SLS: same variable as instrument and dependent variable?


From   Christian Weiß <mail@cweiss.org>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: 2SLS: same variable as instrument and dependent variable?
Date   Tue, 10 Nov 2009 15:59:11 -0500

Dear Statalist,

I am estimating the following 2SLS model:

Firm Performance = A B (C = E F Firm Performance)

I noticed that whereas ivreg allows to use the SAME variable as
overall depdndent varialble AND instrument, ivreg2 does not allow to
do so.
Personally, I consider it as awkward to somehow predict a variasble by
itself, even on a 2sls, however I am wondering what is actually
correct?

Best
Chris
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