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From |
Michael Hanson <mshanson@mac.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: instrumental variable estimation problems |

Date |
Sat, 05 Dec 2009 17:56:14 -0500 |

Tunga:

Note first:

ssc install ivreg2 help ivreg2

In particular:

Hope that helps. Best, Mike On Dec 5, 2009, at 2:54 PM, Tunga Kantarci wrote:

Hello,Sorry, that it is ivreg or ivreg2, does not answer any of myquestions.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 ivreg2 for all your questions. Ekrem Kalkan 2009/12/4 Tunga Kantarci <tungakantarci@hotmail.com>:Hello,I use Stata 10 and I would like to ask three questions regardingthe ivestimation with Stata. Question 1 Suppose we have the following model: depend = b1 + b2 endo + uI want to test if endo is endogenous. The procedure is that youobtain theIV estimates of b1 and b2 and then obtain the residuals. Here thepoint isthat 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 followingcommand:ivreg depend (endo = instone insttwo) exowhere depend is the dependent variable, endo is the suspiciosendogenousvariable and we have two instruments for it. exo is just an exogenousvariable. I first run this regression. This produces IV estimatesfor b1 andb2. Then I want to get the residuals using these two estimates andthevariable 'endo'. Is it ok if I just use the command "predict resid,residuals"? Or is this command producing residuals using the IVestimates ofb1 and b2 and the variable 'predicted endo'? Question 2When I type ivregress instead of ivreg (while running the modelivreg depend(endo = instone insttwo) exo) Stata gives the following error:depend not avalid estimator. What is the problem here? When I type ivreg itworks, whenI type ivregress I get this error. Question 3When I type "estat overid" after I run the iv regression I get thefollowingerror: "invalid subcommand overid". Why estat overid command doesnot work?Thanks.

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**References**:**Re: Re: st: instrumental variable estimation problems***From:*Tunga Kantarci <tungakantarci@hotmail.com>

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