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From |
Tunga Kantarci <tungakantarci@hotmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: instrumental variable estimation problems |

Date |
Mon, 7 Dec 2009 12:12:35 +0100 |

Hello, * Regarding Question 1: In fact, my question is slightly wrong but I still think that it has nothing to do with the ivreg or ivreg2 command. Let me state my question again. The model is the following. depend = b1 + b2 endo + u. I have two instruments for endo and I want to test if they are exogenous. The idea of the test is that you regress the residuals from this model (using iv estimates of b1 and b2) on the instruments to see if the instruments have explanatory power. Hence the steps are as follows: Step 1. Obtain the IV estimates of b1 and b2. Here I use ivregress 2sls depend (endo = instone insttwo). Step 2. Obtain the residuals. Here the point is that I wish to get the residuals using these two iv estimates and the variable 'endo' and NOT the 'predicted endo' from the first stage of the 2SLS. 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'? This question is not about the updated ivreg command. It is about getting the correct residuals. (Note: there can be a direct, ready-made test for instrument exogeneity but I don't want to follow them. The test I am following here is intuitive and therefore I wish to follow the steps I lay down here.) * Regarding Question 2 and 3: I appreciate your answers. They indeed answer these two questions. My whole confusion arised from a simple guess: I tought ivreg was shorthand for ivregress, as is reg for regress. Now I see that ivreg is outdated and the whole issue of ivregress and ivreg2 follows. It is rather me who created some confusion here. Thank you and to Ekrem. Tunga * * 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/

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