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Re: RE: st: about ivregress


From   "Justina Fischer" <JAVFischer@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: RE: st: about ivregress
Date   Tue, 28 Aug 2012 10:30:03 +0200

Hi Lynn

you should read the handbook, which you quote, more carefully.

The handbook says:

"The syntax for -ivregress- is
        ivregress estimator depvar [varlist1] (varlist2 = varlist_iv) [if]
[in] [weight] [, options]"

so in your case, varlist2 is x2 AND x5, and vrlist_iv is then x3, x4, x6, and x7: (x2 x5 = x3 x4 x6 x7) 

Hope this helps

Justina
-------- Original-Nachricht --------
> Datum: Tue, 28 Aug 2012 10:05:26 -0700
> Von: "Lynn Lee" <lynn09v@gmail.com>
> An: statalist@hsphsun2.harvard.edu
> Betreff: RE: st: about ivregress

> The example provided in help document is " ivregress 2sls rent pcturban
> (hsngval = faminc i.region)", which indicates  the endogenous variable is
> "hsngval" and the number of endogenous variable is one. Now, my model has
> two endogenous variables, "ivregress 2sls y x1 (x2=x3 x4) (x5=x6 x7)",
> this
> command is wrong. I am wondering whether there is command that handles two
> endogenous variables x2 and x5 at same time.  Thanks for any suggestion.
> 
> Best Regards,
> Lynn Lee
> 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Christopher
> Baum
> Sent: Monday, August 27, 2012 1:41 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: re: st: about ivregress
> 
> <>
> Lynn said:
> 
> My estimation model has two endogenous explanatory variables
> (cross-section
> data set). The command "ivregress 2sls" or "ivregress gmm" are suitable
> for
> one endogenous variable. What specific command I can use if I want to
> handle
> these two endogenous variables at same time in Stata? And what command for
> handling more than one endogenous variables in panel data is used? 
> 
> 
> The syntax for -ivregress- is
> 
> 
>         ivregress estimator depvar [varlist1] (varlist2 = varlist_iv) [if]
> [in] [weight] [, options]
> 
> Note that -varlist2- is a varlist, not a varname. Thus you may put as many
> variables as you wish into -varlist2-, s.t. the order condition for
> identification, which requires that -varlist_iv- has at least as many
> elements as -varlist2-.
> 
> In panel data, use -xtivreg-, which uses the same syntax.
> 
> For a broader set of features, -ssc desc ivreg2- and -ssc xtivreg2- and
> the
> two Stata Journal papers by Baum, Schaffer, Stillman referenced in their
> help files.
> 
> 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
> 
> 
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-- 
Justina AV Fischer, PhD
COFIT Fellow
World Trade Institute
University of Bern

homepage: http://www.justinaavfischer.de/
e-mail: javfischer@gmx.de. justina.fischer@wti.org
papers: http://ideas.repec.org/e/pfi55.html


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