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From |
Anson Soderbery <[email protected]> |

To |
[email protected] |

Subject |
Re: st: RE: re: Re: Suppressing the Constant in the First Stage with ivreg2 |

Date |
Thu, 18 Jun 2009 11:09:58 -0700 |

On Jun 18, 2009, at 8:31 AM, Schaffer, Mark E wrote:

Anson, Another way to put it is that the IV estimator is a single-equation, limited information estimator. You say that your model is structural,so in effect you are saying that your "first-stage" regression isnot astandard IV first-stage linear projection at all - it's a structural equation. If so, then you are no longer in IV land; you want to use instead a multiple-equation, full information estimator, e.g., 3SLS.It's worth emphasising that IV is still giving you consistentestimates,and the rationale for moving to 3SLS or some other system estimator is to get more efficient estimates. Of course, the usual efficiency-robustness tradeoff also kicks in - 3SLS might be more efficient than IV, but it also requires more assumptions than IV for consistency. Hope this helps. Cheers, Mark`-----Original Message----- From: [email protected] [mailto:[email protected]] On Behalf Of Kit Baum Sent: 18 June 2009 16:07 To: [email protected] Subject: st: re: Re: Suppressing the Constant in the First Stage with ivreg2 <> Anson said Thank you for the response. You are exactly right about include a vector of ones and specifying noc, it will be included. Is there a way to force ivereg2 not to include an exogenous var (ie iota) in the`

FSRs? All I can say is the model is structural, and there is aheavytheoretical justification for suppressing the constant in the first stage. As I understand it there is no justification in terms of econometric theory for suppressing the constant in the FSR if a constant appears in the structural equation to be estimated. The specification of FSRs is driven by your desire to use an estimator which produces consistent estimates of the structural equation when OLS does not. If you use that IV estimator, you must play by the rules. The Z matrix contains all instruments, included and excluded, in the model. If you include iota in the model, it must appear in the Z matrix, and will then be used in the IV formula. Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/-- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: re: Re: Suppressing the Constant in the First Stage with ivreg2***From:*Kit Baum <[email protected]>

**st: RE: re: Re: Suppressing the Constant in the First Stage with ivreg2***From:*"Schaffer, Mark E" <[email protected]>

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