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

[Anson Soderbery <asoderbe@gmail.com>]

Thank you for the response.  You are exactly right about include a  
vector of ones and specifying noc, it will be included.  Is there a  
way to force ivereg2 not to include an exogenous var (ie iota) in the  
FSRs?   All I can say is the model is structural, and there is a heavy  
theoretical justification for suppressing the constant in the first  
stage.

Anson
On Jun 17, 2009, at 4:00 AM, Kit Baum wrote:

> <>
> 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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