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Re: Re: RE: st: How to run 2SLS twice


From   Mauro Caselli <m.caselli@unsw.edu.au>
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re: RE: st: How to run 2SLS twice
Date   Wed, 16 Feb 2011 16:19:30 +1100

Thank you. This clears all my doubts.

Mauro



On 16 February 2011 12:55, Christopher Baum <kit.baum@bc.edu> wrote:
> <>
> Thank you for your replies. I am just a bit confused and maybe it's
> because of the way I have put my equations. Equation 3) below is
> actually the first stage regression, equation 2) is a second stage or
> intermediate stage and then equation 1) is the last stage or
> structural eq.
> Now when you suggest to run equation 1) with ivreg2, do you have in
> mind to use z2, z2hat (fitted values of ivreg2 from equations 2) and
> 3)) or x3 as the instrument for the endogenous variable z1?
>
>
> There is no need--ever--to construct fitted values and plug them in. As Eric suggests, given the recursive nature of your model, it would actually be possible (and preferable, by the usual arguments of OLS vs IV) to estimate all three equations with OLS. There is no simultaneity in this system.
>
> But even if there was, you would not want to be saving predicted values from one equation and plugging them in to another. If you need to use IV (and here you don't), let the program take care of that for you.
>
> Kit
>
> 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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-- 
Mauro Caselli
Postdoctoral Research Fellow
School of Economics, Room 410
Australian School of Business
The University of New South Wales, NSW, 2052
Australia
Phone: +61 (0)2 9385 3561
Email: m.caselli@unsw.edu.au

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