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Re: st: Is there a way to use ivreg2 without running the first stage regression?

From   "Mark Schaffer" <[email protected]>
To   [email protected]
Subject   Re: st: Is there a way to use ivreg2 without running the first stage regression?
Date   Tue, 23 Nov 2004 16:28:33 -0000


I'm not quite sure I understand what you're asking for.

ivreg2 does standard IV.  Internally, there is only one stage, which 
I suppose is standard for packages these days - "2SLS" is a somewhat 
archaic term and it isn't common to do IV in two steps any more.

In any case, if it's standard IV that you want to do, you should be 
able to write down a model that can be estimate in one stage; if you 
can't, then it isn't IV.

In your case, say for example you have two periods.  You have one 
endogenous variable and a set of excluded instruments that I suppose 
are also time-varying.  You want to know if the coeff on the endog 
regressor changes over time.  What's wrong with the following?

- say the equation in the original form has 3 regressors, one of 
which is endogenous, and 2 excluded instruments:

ivreg2 y x1 x2 (y1=z1 z2)

- Interact your endog regressor y1 with time so that you have two 
such regressors, y1_t1 and y1_t2

- Interact your excluded instruments with time to get four such IVs, 
z1_t1 z1_t2 z2_t1 z2_t2

- Estimate

ivreg2 y x1 x2 (y1_t1 y1_t2 = z1_t1 z1_t2 z2_t1 z2_t2)

and test the equality of the coefficients on y1_t1 and y1_t2.

Probably there's something wrong with this, but a specific example 
might help to clarify the question.


Date sent:      	Tue, 23 Nov 2004 11:14:53 -0500
From:           	"Gregory Dybalski" <[email protected]>
To:             	<[email protected]>
Subject:        	st: Is there a way to use ivreg2 without running the first stage
Send reply to:  	[email protected]

> Hi,
> I am estimating an instrumental variable model having one endogenous
> variable on the right hand side (RHS) of the equation.  The model is
> estimated from panel data, having fixed effects, and correcting for
> autocorrelation; heteroscedasicity does not appear to be much of a
> problem.  
> Now, I want to re-examine the model where the coefficient for the RHS
> endogenous variable varies over several time periods.  The simplest way
> to do this would be to take the fitted values from the first-stage and
> generate the needed instruments.  For example, the values for the
> instrument in the initial time period would be equal to the original
> fitted values and zero for the other time periods.  The remaining
> instruments would be generated similarly.  What I want to do is use
> ivreg2 without running the '1st stage regression'.  So, is there a way
> where I can enter the actual and fitted values for the RHS endogenous
> variable into ivreg2?  Or is there another Stata procedure that could
> estimate the model having these above features.
> Obviously, I can estimate the model with the fitted values using a
> regression procedure, and the model coefficients would be properly
> estimated, but the variances would not be.  
> Greg
> *
> *   For searches and help try:
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Prof. Mark E. Schaffer
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator

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