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Re: st: ivreg2 cannot produce first-stage result


From   Mo Phil <[email protected]>
To   [email protected]
Subject   Re: st: ivreg2 cannot produce first-stage result
Date   Mon, 12 Apr 2010 21:02:43 +0800

Martin and Mark, many thanks for the kind explanation.

2010/4/6 Martin Weiss <[email protected]>:
>
> <>
>
>
> " By the way, what's the meaning of FSRs?"
>
>
> Abbreviation for First Stage Results?
>
>
>
> HTH
> Martin
>
> -----Ursprüngliche Nachricht-----
> Von: [email protected]
> [mailto:[email protected]] Im Auftrag von Mo Phil
> Gesendet: Dienstag, 6. April 2010 04:43
> An: [email protected]
> Betreff: Re: st: ivreg2 cannot produce first-stage result
>
> Dear Kit,
>
> Many thanks for your kind advice.
>
> I changed the command to the following and it worked.
>
>  ivreg2 my_y $xfirm $year_dummies (choice_dummy = choice_sic3),   first
>
> By the way, what's the meaning of FSRs?
>
> The help file of ivreg2 does contain several illustrations of using my
> previous sepcificaiton of the comand:
>
> For instance,
>      . ivreg2 lwage exper expersq (=age kidslt6 kidsge6), robust
>
> Also, one mystery is that I used the same syntax in another project
> last night, it did work. what's the reason?
>
> Once again, many thanks.
>
> Phil
>
>
>
> 2010/4/6 Kit Baum <[email protected]>:
>> <>
>> Phil said
>>
>>
>> I used the following ivreg2 to estimate an IV-regression, but could
>> not produce the first-stage result.
>>
>> .  ivreg2 my_y $xfirm $year_dummies choice_dummy (= choice_sic3),   first
>>
>> Unable to display first-stage estimates; macro e(first) is missing
>>
>> Unable to display summary of first-stage estimates; macro e(first) is
> missing
>>
>>
>> I browsed the Statalist, found a similiar posting, but the suggested
>> answer is that if OLS is used in the second stage, there is no
>> first-stage results.
>>
>> But I actually used the same command syntax in another setting some
>> months ago, it worked.
>>
>> I would appreciated any suggestions on how to obtain the first stage
> result.
>>
>>
>> The current versions of ivreg2, ivreg29 and ivreg28 from SSC all give
> these same two messages. The FSRs that
>> you're considering are the regressions of what lies on the left of the
> equals sign above on all exogenous variables.
>> As there is nothing there, there are no such regressions to be estimated.
> You are using the 'heteroskedastic OLS' (HOLS)
>> estimator, in which the excluded instruments on the right of the equals
> sign are being used to improve the efficiency
>> of the estimates in the presence of heteroskedasticity of unknown form.
> However, their presence does not change
>> the fact that there are no FSRs in this kind of model.
>>
>> Kit
>> coauthor ivreg2*
>>
>> 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
>>
>>
>> *
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>>
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