Dana,
From: "Dana Shills" <[email protected]>
To: [email protected]
Subject: st: 2SLS and Instrumental Variables
Date sent: Fri, 10 Dec 2004 05:20:50 +0000
Send reply to: [email protected]
> Sorry my last email was incomplete...
> Consider the following:
>
> regress Y2 Z1 Z2 Z3 Z4 X1 X2
> *****Z1-Z4 are all significant at the 1% level.
> predict y2hat
> predict res1, resid
>
>
> regress Y1 y2hat X1 X2 res1
> ****Both y2hat and res1 come out significant at the 1% level. So y2 is
> indeed endogenous. However when I do
>
> regress Y1 Z1 Z2 Z3 Z4 X1 X2 res1
> then only Z1 is weakly significant and the rest are not. Why is this
> the case? When the predicted value of y2 which is a function of Z1-Z4
> comes out significant then why not Z1-Z4 themselves?
Perhaps because of the loss of degrees of freedom and/or
multicollinearity between the Zs? Try a test of the joint
significance of Z1-Z4.
--Mark
>
> Thanks for taking the time to consider this question.
>
> Regards
> -Dana
>
> _________________________________________________________________
> Express yourself instantly with MSN Messenger! Download today - it's
> FREE! http://messenger.msn.click-url.com/go/onm00200471ave/direct/01/
>
> *
> * 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 E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3296 fax
44-131-451-3485 CERT administrator
http://www.sml.hw.ac.uk/cert
*
* 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/
