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RE: st: xtivreg2 - Incomplete computation of first stage regression


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: xtivreg2 - Incomplete computation of first stage regression
Date   Sun, 28 Feb 2010 15:20:57 +0100

<>

See the discussion here:
http://www.stata.com/statalist/archive/2010-02/msg00974.html

The Stock Yogo tables only exist for up to three endogenous variables.

Eric

Eric de Souza
European Economic Studies
College of Europe
Brugge (Bruges)
Belgium

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Lim Boon Leong
Sent: 28 February 2010 09:45
To: statalist@hsphsun2.harvard.edu
Subject: <POSSIBLE SPAM>st: xtivreg2 - Incomplete computation of first stage regression

Dear Statalisters:

 

I have a regression equation which is consisted of 5 suspected endogenous variables with a list of excluded instrument variables.  I use xtivreg2, fixed effect, cluster (id) small function to run the regression analysis.

 

Xtivreg2 lsalary ceodual ... (ownexr ownex2r ownex3r L.ldiv L.debt = lrisk lsale lsale2......), fe cluster(id) small

 

The regression runs smoothly and provides test results such as underidentification test, weak identification test, and Hansen J statistic.

 

But when I run the first function to get the first stage regression as
below:

 

Xtivreg2 lsalary ceodual ... (ownexr ownex2r ownex3r L.ldiv L.debt = lrisk lsale lsale2......), fe cluster(id) small first 

 

, it only managed to provide first stage regression results for the first 3 endogenous variables namely ownexr, ownex2r, and ownex3r.

 

And for the fourth first stage regression result it is reported as such:

 

First-stage regression of _000007:

 

..........................

 

_000007 not found 

 

r(111) which implies missing variables.

 

My questions are as follows:

 

1.        If I have 5 endogenous regressors, can I expect to have 5 first
stage regression results for all these endogenous variables?

 

2.       Is there any methods to compute the first stage regression for all
these 5 endogenous regressors?

 

Thank you very much.

 

Best regards,

Lim Boon Leong 

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