Baktigul,
Quoting Baktigul Turdubekova <[email protected]>:
> Dear STATALIST,
>
> I have taken lagged values of the regressors as
> instrumental variables along with other instruments in
> 2SLS estimation with the following command:
>
> ivreg loggdpgr (loggdp ciave cgave syr = lloggdp lcia
> lcg lsyr syr)
>
> where the instruments with l in front of the var.
> names are lagged values of the regressors.
>
> My estimation results seem to look better than in OLS
> (t-statistics and Rsquared are larger). But I still
> have doubts whether such a way of instrumenting is
> correct. How can I check the validity of instruments
> (F test) and also run the test for overidentifying
> restrictions in STATA 7? I wanted to use ivreg2
> instread of ivreg because the former shows the Sargan
> test results in the output window automatically. But
> there is no ivreg2 command in my STATA.
You should be able to download and install ivreg2 in your Stata in the
usual way. From within Stata, try
findit ivreg2
and then follow the links to install.
If your Stata doesn't have an internet connection, you can install the 3
ivreg2 programs by hand. Just download them from SSC, e.g.,
http://econpapers.hhs.se/software/bocbocode/s425401.htm
into your ADO file.
--Mark
>
> Thank you in advance!
>
> Baktigul
>
>
>
> __________________________________
> Do you Yahoo!?
> Read only the mail you want - Yahoo! Mail SpamGuard.
> http://promotions.yahoo.com/new_mail
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
________________________________________________________________
DISCLAIMER:
This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed. If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail. In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail. Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail. Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
________________________________________________________________
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
