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st: ivreg2 questions

From   Robert Davidson <[email protected]>
To   [email protected]
Subject   st: ivreg2 questions
Date   Mon, 19 Mar 2012 17:37:48 -0400

Dear Statalist,

I am using ivreg2 (3.1.03) authors cfb & mes and have a few questions.

My model is X = A + B + C (1)
The endogenous regressor, C, is binary, and I am using 1 continuous
instrument (D) for C.

Q1) does this version of ivreg2 not produce the Stock-Yogo relative
bias values?  My output only include the size values.

Q2) I have had a difficult time finding valid instruments for C.  I
have tried several that had reasonably high and significant
correlations with C and no significant correlation with the error term
from equation (1), but my f-stats were often around 7 or 8 (reasonably
weak instruments).  Then, I tried another variable that was not highly
correlated with C and the f-stat was about 25 and the results were
similar to the main estimation.  Is it common that a variable that
does not seem strongly associated with the endogenous regressor can
serve as such a strong instrument or am I doing something wrong?  I
know I cannot test for exogeneity, but this new variable does not seem
correlated with the error term from equation (1).

I apologize that this may have been sent twice.

Thank you,

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