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From |
Kit Baum <baum@bc.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: instrumental variables estimation problems |

Date |
Tue, 8 Dec 2009 06:49:29 -0500 |

<> ------- sysuse auto,clear ivregress 2sls price (mpg = weight length) // these are the proper 2SLS resids: y - orig X * 2SLS beta predict double eps, res estat overid // Sargan stat by hand reg eps weight length // compute the uncentered r^2 from this regression predict double yhat, xb gen double syhat2 = sum(yhat^2) gen double seps2 = sum(eps^2) scalar ur2 = syhat2[_N]/seps2[_N] // Sargan: N * uncentered r^2 di e(N)*ur2 ---------- On Dec 8, 2009, at 2:33 AM, Tunga wrote: > * 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.) Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * 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/

**Follow-Ups**:**Re: st: Re: instrumental variables estimation problems***From:*John Antonakis <john.antonakis@unil.ch>

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