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st: instrumental variable estimation problems


From   Tunga Kantarci <tungakantarci@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: instrumental variable estimation problems
Date   Fri, 4 Dec 2009 14:30:51 +0100

Hello,

I use Stata 10 and I would like to ask three questions regarding the iv
estimation with Stata.



Question 1
Suppose we have the following model: 

depend = b1 + b2 endo + u

I want to test if endo is endogenous. The procedure is that you obtain the
IV estimates of b1 and b2 and then obtain the residuals. Here the point is
that the residuals are obtained using the variable 'endo' and not the
'predicted endo' from the first stage of the TSLS. 

My question is this: We obtain the IV estimates with the following command: 

ivreg depend (endo = instone insttwo) exo

where depend is the dependent variable, endo is the suspicios endogenous
variable and we have two instruments for it. exo is just an exogenous
variable. I first run this regression. This produces IV estimates for b1 and
b2. Then I want to get the residuals using these two estimates and the
variable 'endo'. Is it ok if I just use the command "predict resid,
residuals"? Or is this command producing residuals using the IV estimates of
b1 and b2 and the variable 'predicted endo'?



Question 2
When I type ivregress instead of ivreg (while running the model ivreg depend
(endo = instone insttwo) exo) Stata gives the following error: depend not a
valid estimator. What is the problem here? When I type ivreg it works, when
I type ivregress I get this error.



Question 3
When I type "estat overid" after I run the iv regression I get the following
error: "invalid subcommand overid". Why estat overid command does not work? 

Thanks.


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