st: Re: Suppressing the Constant in the First Stage with ivreg2

[Kit Baum <baum@bc.edu>]

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I don't think so. The FSRs are projecting each one of the endogenous  
variables on all of the instruments, included and excluded. If you  
include a variable that takes on a constant value in the regression of  
interest (by doing, e.g., ivreg2 y iota (y2=z1 z2), noco, where  
iota=1), ivreg2 will properly include iota in the instrument list, and  
the FSR will contain iota as an explanatory variable. That is as it  
should be; if the vector of ones appears in the main regression, it  
must be an instrument in the projection of the endogenous vars on all  
of the instruments. So the issue is not whether ivreg2 will do it, but  
whether there is any theoretical justification for doing so. I think  
not.

Kit

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 Jun 17, 2009, at 02:33 , Anson wrote:

> I have a particular model where I need to suppress the constant term
> from the first stage estimation of a two stage model using Fuller's
> technique.  As many of you know ivreg2 is a great plug in for
> implementing this estimation, and I would like to stick with it
> (rather than coding my LIML problem by hand).  Is it possible to
> suppress the constant in the first stage, and include it in the
> second?  Thank you all.

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