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st: Re: IVs


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: IVs
Date   Fri, 24 Mar 2006 19:01:41 -0500

This is quite incorrect. When you specify

ivreg y x1 x2 (x3 x4 = x5 x6 x7)

you are saying that the FSRs are to be run with x1, x2, x5, x6, x7 as regressors. Any other specification is quite incorrect, as has been mentioned often on this list by Mark Schaffer, others and myself. You cannot pick and choose which instruments enter a particular FSR.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


On Mar 24, 2006, at 2:33 AM, statalist-digest 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.
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