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st: Re: two endogenous regressors
The latest version of ivreg2 (ssc install ivreg2, replace) will
perform some useful tests on the FSRs even in the case of exact
identification. The help file has all the gory details.
Kit Baum, Boston College Economics
On Mar 25, 2006, at 2:33 AM, Florence wrote:
Hello, does anyone know the correct test of the first stage when I
have two endogenous regressors
and two instruments? (so my equation is exactly identified). I
heard something about an S-Test,
and I'm not exactly sure how my "rule of thumb" about an F-stat of
at least 9 or 10 for the first
stage changes when I have multiple first-stages to worry about.
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