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st: re: instrument variable issues in xtivreg
Srini said
xtivreg mort_rate adj_dist_vacc_rate (lag_vacc_rate =
lag2_inpatient_rate lag3_inpatient_rate) if province == "A", fe first
small
However, in the first stage, STATA uses all three variables,
adj_dist_vacc_rate, lag2_inpatient_rate and lag3_inpatient_rate, as
instruments. I do not want this to occur. Is there a way I can avoid
this issue?
No; this is a FAQ. The theory of single-equation instrumental
variables estimation states that each endogenous variable is
regressed on all instruments, included and excluded (including a
constant term if one appears in the equation). You are getting
exactly what you should.
http://www.stata.com/support/faqs/stat/ivreg.html
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
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