Christer,
Subject: st: Question about reg3/ivreg--endogeneity issue
To: [email protected]
From: [email protected]
Date sent: Mon, 11 Oct 2004 12:29:52 +0200
Send reply to: [email protected]
> Hei,
>
> I have estimated the model:
>
> xi: reg3 (logint X logZ) (logZ i.type i.firm i.type2 i.busi), first
>
> where my primary aim is to get consistent estimates of X and (the
> endogenous) logZ on logint. My problem is that X is NOT endogenous, at
> least not theoretically. But when I look at the second of the first-stage
> regressions I see that the variable X (by default?) is used as an
> explanatory variable of logZ as well.
That's how IV/2SLS and 3SLS work. All exogenous variables show up in
all the first-stage regressions. This point comes up regularly on
Statalist, e.g., Kit Baum's postings:
http://www.stata.com/statalist/archive/2003-08/msg00079.html
http://www.stata.com/statalist/archive/2002-09/msg00098.html
or the Stata FAQ:
http://www.stata.com/support/faqs/stat/ivreg.html
> If possible, how can I get the ceteris paribus effect of X on logint
> (adjusted for logZ only) in the present context?
Perhaps I misunderstand the problem, but this is what the coeff on X
will tell you if you estimate using reg3 or ivreg.
Hope this helps.
--Mark
> By the way, the use of
> ivreg instead of reg3 creates the same problem.
>
> Best regards,
>
> Christer
>
> --
> Christer Thrane, dr.polit.
> Associate Professor, Sociology
> Department of Social Science
> Lillehammer University College
> 2626 Lillehammer, Norway
> + 47 61 28 81 70 (fax)
> + 47 61 28 82 47 (phone, work)
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>
> E-mail, work: [email protected]
>
>
>
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