Re: st: 2SLS and Instrumental Variables

["Dana Shills" <shills52@hotmail.com>]

Thank you Prof. Schaffer and Prof Williams.

I understand that the instruments might be collinear but I thought to be 
good instruments, there should be no direct paths from the instruments to 
the dependent variable Y1, only indirect paths through the endogenous 
regressor Y2. So if the instruments do come out significant, then are they 
not valid instruments? What am i missing here?

Thanks again

Dana


> > > 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.

> > > > > > That is my first inclination too. To take a more extreme example, 
> > > > > > suppose you had a hundred yes/no questions. Their sum (i.e. the number 
> > > > > > of yes answers) might well have a significant effect. That does not 
> > > > > > mean that if you entered all 100 items in a regression that any one of 
> > > > > > them individually would have a significant effect.
_________________________________________________________________
On the road to retirement? Check out MSN Life Events for advice on how to 
get there! http://lifeevents.msn.com/category.aspx?cid=Retirement

*
*   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/