<>
They change substantially because, as I had suspected, you have
reinvented the OLS estimator by imposing that constraint:
. reg lw s expr iq
Source | SS df MS Number of obs
= 758
-------------+------------------------------ F( 3, 754)
= 113.47
Model | 43.3251597 3 14.4417199 Prob > F
= 0.0000
Residual | 95.9609902 754 .127269218 R-squared
= 0.3111
-------------+------------------------------ Adj R-squared
= 0.3083
Total | 139.28615 757 .183997556 Root MSE
= .35675
------------------------------------------------------------------------------
lw | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------
+----------------------------------------------------------------
s | .0938797 .0068874 13.63 0.000 .
080359 .1074005
expr | .0458306 .0063546 7.21 0.000 .
0333558 .0583054
iq | .0042154 .0011107 3.80 0.000 .
002035 .0063958
_cons | 3.910948 .1099871 35.56 0.000 3.695031
4.126866
------------------------------------------------------------------------------
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming
| http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
On Apr 19, 2009, at 02:33 , John wrote:
As for your question, yes, the estimates change substantially for the
second-stage equation (the first stage are, of course, unchanged):
Two-Tailed
Estimate S.E. Est./S.E. P-Value
LW ON
IQ 0.004 0.001 3.805 0.000
S 0.094 0.007 13.667 0.000
EXPR 0.046 0.006 7.231 0.000
Cons 3.911 0.110 35.652 0.000
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