Re: st: ivreg2 cannot produce first-stage result

[Mo Phil <acbooks123@gmail.com>]

Dear Kit,

Many thanks for your kind advice.

I changed the command to the following and it worked.

  ivreg2 my_y $xfirm $year_dummies (choice_dummy = choice_sic3),   first

By the way, what's the meaning of FSRs?

The help file of ivreg2 does contain several illustrations of using my
previous sepcificaiton of the comand:

For instance,
      . ivreg2 lwage exper expersq (=age kidslt6 kidsge6), robust

Also, one mystery is that I used the same syntax in another project
last night, it did work. what's the reason?

Once again, many thanks.

Phil



2010/4/6 Kit Baum <baum@bc.edu>:
> <>
> Phil said
>
>
> I used the following ivreg2 to estimate an IV-regression, but could
> not produce the first-stage result.
>
> .  ivreg2 my_y $xfirm $year_dummies choice_dummy (= choice_sic3),   first
>
> Unable to display first-stage estimates; macro e(first) is missing
>
> Unable to display summary of first-stage estimates; macro e(first) is missing
>
>
> I browsed the Statalist, found a similiar posting, but the suggested
> answer is that if OLS is used in the second stage, there is no
> first-stage results.
>
> But I actually used the same command syntax in another setting some
> months ago, it worked.
>
> I would appreciated any suggestions on how to obtain the first stage result.
>
>
> The current versions of ivreg2, ivreg29 and ivreg28 from SSC all give these same two messages. The FSRs that
> you're considering are the regressions of what lies on the left of the equals sign above on all exogenous variables.
> As there is nothing there, there are no such regressions to be estimated. You are using the 'heteroskedastic OLS' (HOLS)
> estimator, in which the excluded instruments on the right of the equals sign are being used to improve the efficiency
> of the estimates in the presence of heteroskedasticity of unknown form. However, their presence does not change
> the fact that there are no FSRs in this kind of model.
>
> Kit
> coauthor ivreg2*
>
> 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
>
>
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