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st: Xtivreg2 with two endogenous variables


From   vikramfinavker <vikramfinavker@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Xtivreg2 with two endogenous variables
Date   Sat, 16 Apr 2011 03:52:16 -0700 (PDT)

HI all,

I am using xtiverg2 for running my model with two regressions. My model is

xtivreg2 y1 x1 x2 x3 x4 (x5 x6 = z1 z2 z3 z4) yeardummy industrydummy, fe
endog(x5 x6) first

the problem i am having is that the instruments for endogenous variable x5
are not significant for endogenous variable x6 and instruments for x6 are
not significant for x5 in first stage regressions and due to this i get very
low cragg-donald f stat in 2sls regression. Is there anyway i can solve this
problem?

Thanks

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