It is worse than "not a good idea" to pick and choose among exog vars
to include in the first stage--it is not the IV estimator, and you
would have to derive consistency results for your new homemade
estimator based on different assumptions. You are better off sticking
with -ivreg- or -ivreg2- to be sure. If you want to include
d7usq=d7unit^2 as a new endogenous RHS variable, you now have two
endog variables, and you may need more excluded instruments--but the
products (with exog vars) and powers of your existing excluded
instrument(s) are candidates.
On 3/23/06, Arne Risa Hole <[email protected]> wrote:
> You can try the following code:
<snip> This replicates:
>
> ivreg lw expr tenure rns smsa (iq s=med kww)
>
> If you want to remove some of the instruments simply drop them from
> the first stage regressions. Note that not using all the exogenous
> variables as instruments is probably not a good idea - see
> http://www.stata.com/support/faqs/stat/ivreg.html.
>
> On 23/03/06, Paolo Caruso <[email protected]> wrote:
> > This is a question with regards to IV's.
> >
> > I am using STATA in order to do a 2SLS. STATA does not allow you to specify which variables to include or not include in the first stage. This means that I have to complete the regression in the separate two stages.
> >
> > I know how to adjust the MSE when I have one variable that I want to instrument, however, I do not know how to do it when I have more than one.
> >
> > The command lines in stata to adjust the MSE for one variable are as follows:
> <snip> ereturn display
> >
> > where d7unit is the variable that I want to instrument and loginc is the dependant variable.
> >
> > I would also like to instrument d7unit^2 and this is where I am unsure what the relevant command lines would be in order to ensure that the correct MSE is used.
> >
> > Any help would be much appreciated.
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