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st: Error with ffirst in ivreg2


From   Abigail Wozniak <A_Wozniak@nd.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Error with ffirst in ivreg2
Date   Tue, 5 Apr 2011 20:32:40 -0400

I am running a 2SLS specification with two endogenous variables and two instruments, plus state and year fixed effects.  One endogenous variable is the current period population and the other is the one year lagged population. The instruments are the IV for the current period and the previous period's instrument.

The first stage with one endogenous variable is strong, but I wanted to check that both instruments are strong predictors in the two instrument-two endogenous variable case.

When I run my specification using ivreg2 with the ffirst option, I get the error message "reduced form estimation failed." However, when I omit the ffirst option, the same specification runs and I get reasonable looking estimates. 

Does anyone know what the problem is? It seems odd that ivreg2 would generate 2SLS estimates if the reduced form truly were not available so I don't understand why it runs without ffirst but not with it.

Thanks!
Abbie Wozniak, University of Notre Dame, Department of Economics



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