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Re: st: Re:


From   "Paolo Caruso" <P.Caruso@warwick.ac.uk>
To   <austinnichols@gmail.com>, <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Re:
Date   Thu, 23 Mar 2006 16:33:40 +0000

Thanks for your replies.

The reason why I want to exclude the variables is because they are interactions (based on the variable that I am instrumenting) therefore, it can not be valid to include them in the first stage. If there is any other way of avoiding this problem then please let me know.

Thank you for the commands but the actual problem I am having is if it is possible to do the same thing apart from with more than one instrumented variable and what additional commands I would have to do in order to ensure the correct t-stats are reported.

Regards,

Paolo

>>> austinnichols@gmail.com 03/23/06 14:08 PM >>>
It is worse than "not a good idea" to pick and choose among exog vars
to include in the first stage--it is not the IV estimator, and you
would have to derive consistency results for your new homemade
estimator based on different assumptions. You are better off sticking
with -ivreg- or -ivreg2- to be sure. If you want to include
d7usq=d7unit^2 as a new endogenous RHS variable, you now have two
endog variables, and you may need more excluded instruments--but the
products (with exog vars) and powers of your existing excluded
instrument(s) are candidates.

On 3/23/06, Arne Risa Hole <arnehole@gmail.com> wrote:
> You can try the following code:
<snip> This replicates:
>
> ivreg lw expr tenure rns smsa (iq s=med kww)
>
> If you want to remove some of the instruments simply drop them from
> the first stage regressions. Note that not using all the exogenous
> variables as instruments is probably not a good idea - see
> http://www.stata.com/support/faqs/stat/ivreg.html.
>
> On 23/03/06, Paolo Caruso <P.Caruso@warwick.ac.uk> wrote:
> > This is a question with regards to IV's.
> >
> > I am using STATA in order to do a 2SLS. STATA does not allow you to specify which variables to include or not include in the first stage. This means that I have to complete the regression in the separate two stages.
> >
> > I know how to adjust the MSE when I have one variable that I want to instrument, however, I do not know how to do it when I have more than one.
> >
> > The command lines in stata to adjust the MSE for one variable are as follows:
> <snip> ereturn display
> >
> > where d7unit is the variable that I want to instrument and loginc is the dependant variable.
> >
> > I would also like to instrument d7unit^2 and this is where I am unsure what the relevant command lines would be in order to ensure that the correct MSE is used.
> >
> > Any help would be much appreciated.

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