Newer commands do not allow such a nonsensical specification:
. sysuse auto
(1978 Automobile Data)
. ivreg price (mpg=turn price)
Instrumental variables (2SLS) regression
Source | SS df MS Number of obs = 74
-------------+------------------------------ F( 1, 72) = 30.35
Model | 68760967 1 68760967 Prob > F = 0.0000
Residual | 566304429 72 7865339.29 R-squared = 0.1083
-------------+------------------------------ Adj R-squared = 0.0959
Total | 635065396 73 8699525.97 Root MSE = 2804.5
------------------------------------------------------------------------------
price | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
mpg | -408.9816 74.23439 -5.51 0.000 -556.9652 -260.9981
_cons | 14875.46 1614.256 9.22 0.000 11657.5 18093.42
------------------------------------------------------------------------------
Instrumented: mpg
Instruments: turn price
------------------------------------------------------------------------------
. ivregress gmm price (mpg=turn price)
price specified as both regressand and excluded exogenous variable
r(498);
. ivregress liml price (mpg=turn price)
price specified as both regressand and excluded exogenous variable
r(498);
. ivregress 2sls price (mpg=turn price)
price specified as both regressand and excluded exogenous variable
r(498);
On Tue, Nov 10, 2009 at 3:59 PM, Christian Weiß <[email protected]> wrote:
> Dear Statalist,
>
> I am estimating the following 2SLS model:
>
> Firm Performance = A B (C = E F Firm Performance)
>
> I noticed that whereas ivreg allows to use the SAME variable as
> overall depdndent varialble AND instrument, ivreg2 does not allow to
> do so.
> Personally, I consider it as awkward to somehow predict a variasble by
> itself, even on a 2sls, however I am wondering what is actually
> correct?
>
> Best
> Chris
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
