Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down at the end of May, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Yuval Arbel <yuval.arbel@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: Re: Re: RE: re:Re: st: Multiple endogenous regressors |

Date |
Sat, 22 Oct 2011 10:34:30 +0200 |

I would like to assure you that I would not write about this matter if I was not certain about my knowledge in this area. I believe you are confusing between 2SLS and IV estimators, which are not exactly the same: When you are talking about 2SLS you need literally to replace projected values from the solution equation - but here the second equation is simply an identity, so you cannot produce here projected values. I suppose what STATA did here is to use investment as instrumental variable to consumption in the right-hand-side of the consumption function. This is not 2SLS even if the command is 2SLS and even if the output tells otherwise!!! On Fri, Oct 21, 2011 at 9:51 PM, Christopher Baum <kit.baum@bc.edu> wrote: > <> > Yuval said > > Moreover, take for example the following system of Kensian (sic) equations: > > C=a+bY+u > Y=C+I > > Note, that the only way to get consistent estimates in this case is by > the ILS (you cannot employ here the 2SLS) > > > I''m sure the inability to use 2SLS on a simple Keynesian model will come as a surprise to those of us who write econometrics lecture notes and textbooks, as it is one of the most common textbook examples of IV. > An empirical counterexample: > > . webuse klein > > . ivregress 2sls consump (totinc = invest) > > Instrumental variables (2SLS) regression Number of obs = 22 > Wald chi2(1) = 24.24 > Prob > chi2 = 0.0000 > R-squared = 0.8430 > Root MSE = 2.8442 > > ------------------------------------------------------------------------------ > consump | Coef. Std. Err. z P>|z| [95% Conf. Interval] > -------------+---------------------------------------------------------------- > totinc | .4593425 .0932901 4.92 0.000 .2764971 .6421878 > _cons | 26.07967 5.571562 4.68 0.000 15.15961 36.99973 > ------------------------------------------------------------------------------ > Instrumented: totinc > Instruments: invest > > > Apparently Yuval did not take my response to his point (4) too seriously. > > Kit > > 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/ > -- Dr. Yuval Arbel School of Business Carmel Academic Center 4 Shaar Palmer Street, Haifa, Israel e-mail: yuval.arbel@gmail.com * * 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/

**Follow-Ups**:**RE: st: Multiple endogenous regressors***From:*Cameron McIntosh <cnm100@hotmail.com>

**References**:**re: Re: Re: RE: re:Re: st: Multiple endogenous regressors***From:*Christopher Baum <kit.baum@bc.edu>

- Prev by Date:
**st: Panel composing** - Next by Date:
**st: Machine spec for 70GB data** - Previous by thread:
**re: Re: Re: RE: re:Re: st: Multiple endogenous regressors** - Next by thread:
**RE: st: Multiple endogenous regressors** - Index(es):