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st: Re: ivreg2 cannot produce first-stage result


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: ivreg2 cannot produce first-stage result
Date   Tue, 6 Apr 2010 07:12:48 -0400

<>
On Apr 6, 2010, at 2:33 AM, Phil wrote:

> 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?


FSR == First Stage Regression

You changed it to a specification which uses 2SLS (or IV) where choice_dummy is regressed on choice_sic3 and your other exogenous variables.

There are several examples of (=excluded) in the ivreg2 help because the help describes the HOLS estimator, per my prior message. It is not a 2SLS nor IV estimator, and does not have the interpretation of auxiliary regressions that 2SLS or IV does.

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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