st: Re: two endogenous regressors

[Kit Baum <baum@bc.edu>]

The latest version of ivreg2 (ssc install ivreg2, replace) will  
perform some useful tests on the FSRs even in the case of exact  
identification. The help file has all the gory details.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


On Mar 25, 2006, at 2:33 AM, Florence wrote:


> Hello, does anyone know the correct test of the first stage when I  
> have two endogenous regressors
> and two instruments? (so my equation is exactly identified).  I  
> heard something about an S-Test,
> and I'm not exactly sure how my "rule of thumb" about an F-stat of  
> at least 9 or 10 for the first
> stage changes when I have multiple first-stages to worry about.
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