Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, is already up and running.

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

st: Re: IV Probit

From   Robert Davidson <>
Subject   st: Re: IV Probit
Date   Mon, 19 Mar 2012 17:35:17 -0400

Dear Statalist,

I am using ivreg2 (3.1.03) authors cfb & mes and have a few questions.

My model is X = A + B + C (1)
The endogenous regressor, C, is binary, and I am using 1 continuous
instrument (D) for C.

Q1) does this version of ivreg2 not produce the Stock-Yogo relative
bias values?  My output only include the size values.

Q2) I have had a difficult time finding valid instruments for C.  I
have tried several that had reasonably high and significant
correlations with C and no significant correlation with the error term
from equation (1), but my f-stats were often around 7 or 8 (reasonably
weak instruments).  Then, I tried another variable that was not highly
correlated with C and the f-stat was about 25 and the results were
similar to the main estimation.  Is it common that a variable that
does not seem strongly associated with the endogenous regressor can
serve as such a strong instrument or am I doing something wrong?  I
know I cannot test for exogeneity, but this new variable does not seem
correlated with the error term from equation (1).

Thank you,
*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index