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st: ivreg2 question


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: ivreg2 question
Date   Tue, 1 May 2012 20:07:11 -0400

<>
Jana said

Does anyone know if it is possible to prevent STATA from including in step 1 estimation the (exogenous) independent variables from step 2? From what I can tell, partial doesn't do the trick.

This is a FAQ. You can't because according to the theory of two-stage least squares, you shouldn't. The 'first stage' regressions include all exogenous variables, included or excluded.

Kit 
co-author 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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