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st: IVQR with two endogenous regressors using -ivqreg-


From   Katie Farrin <kfarrin@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: IVQR with two endogenous regressors using -ivqreg-
Date   Fri, 31 May 2013 12:08:25 -0400

Hi, Statalisters,

I am using the -ivqreg- user-written command to evaluate the effects
of source-specific income increases on nutritional outcomes.  However,
I have two endogenous regressors, a dummy that indicates that a
household has chosen to farm tobacco and a (continuous) variable for
tobacco profits; these endogenous regressors are clearly related but
not the same.

I would like to instrument the endogenous dummy variable with GIS data
on the distance to the nearest tobacco auction floor and the tobacco
profits with the deviation from ten-year average rainfall.   I use the
following code in Stata:

*instumental variables quantile regression
ivqreg ln_dietarydiversity maize_thousands emp_inc_thousands
bus_profits_thousands livestock_thousands remittances_thousands /*
*/ ln_price_tomato age_hh_head male married durables_thousands
years_education hh_size /*
*/ chitipa karonga nkhatabay rumphi mzimba kasungu nkhotakota ntchisi
dowa salima mchinji dedza ntcheu /*
*/ mangochi machinga zomba chiradzulu blanytyre mwanza thyolo mulanje
phalombe chikwawa nsanje balaka /*
*/ March April May June August September October November
(tobacco_thousands tobacco=deviation_tot_rainfall_wet_2010
dist_auction), robust first

I have two questions:
(1) when running this code I get a conformability error (r(503)), and
I do not know why this is occurring (this is very similar to the code
I run for regular QR using -bsqreg- without any problems) - any advice
would be greatly appreciated on how to run this code without
generating such an error;

(2) when I run the code, before the error message, Stata saves two new
variables to my working data set, "dhat" and "iner."  I have looked at
the user-written -ivqreg- but cannot figure out what these are (I am
assuming they are predicted values, but of what I do not know because
they are not similar in range to my endogenous variable values) - if
anyone is familiar with -ivqreg- and could give me some insight as to
what these variables are I'd appreciate it.

Best,

Katie
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