Re: st: instrumental variable estimation problems

 From Ekrem Kalkan To statalist@hsphsun2.harvard.edu Subject Re: st: instrumental variable estimation problems Date Fri, 4 Dec 2009 16:19:29 +0200

```Hello Tunga,
if you use the command "ivreg2", and read the help file , you can
find how to test the endogeneity and overidentification.
For your second question with ivregress, you need to use an option
"2sls" after the command ivregress. But any way, it is better to use

Ekrem Kalkan

2009/12/4 Tunga Kantarci <tungakantarci@hotmail.com>:
> 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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> *   http://www.ats.ucla.edu/stat/stata/
>

*
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```