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From |
"Martin Weiss" <martin.weiss1@gmx.de> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
AW: st: ivreg2 cannot produce first-stage result |

Date |
Tue, 6 Apr 2010 09:29:01 +0200 |

<> " By the way, what's the meaning of FSRs?" Abbreviation for First Stage Results? HTH Martin -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Mo Phil Gesendet: Dienstag, 6. April 2010 04:43 An: statalist@hsphsun2.harvard.edu Betreff: Re: st: ivreg2 cannot produce first-stage result 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 > > > * > * 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/ > * * 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/ * * 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/

**References**:**re: st: ivreg2 cannot produce first-stage result***From:*Kit Baum <baum@bc.edu>

**Re: st: ivreg2 cannot produce first-stage result***From:*Mo Phil <acbooks123@gmail.com>

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