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Re: st: ivreg2 cannot produce first-stage result
From
Mo Phil <[email protected]>
To
[email protected]
Subject
Re: st: ivreg2 cannot produce first-stage result
Date
Tue, 6 Apr 2010 10:43:23 +0800
Dear Kit,
Many thanks for your kind advice.
I changed the command to the following and it worked.
ivreg2 my_y $xfirm $year_dummies (choice_dummy = choice_sic3), first
By the way, what's the meaning of FSRs?
The help file of ivreg2 does contain several illustrations of using my
previous sepcificaiton of the comand:
For instance,
. ivreg2 lwage exper expersq (=age kidslt6 kidsge6), robust
Also, one mystery is that I used the same syntax in another project
last night, it did work. what's the reason?
Once again, many thanks.
Phil
2010/4/6 Kit Baum <[email protected]>:
> <>
> Phil said
>
>
> I used the following ivreg2 to estimate an IV-regression, but could
> not produce the first-stage result.
>
> . ivreg2 my_y $xfirm $year_dummies choice_dummy (= choice_sic3), first
>
> Unable to display first-stage estimates; macro e(first) is missing
>
> Unable to display summary of first-stage estimates; macro e(first) is missing
>
>
> I browsed the Statalist, found a similiar posting, but the suggested
> answer is that if OLS is used in the second stage, there is no
> first-stage results.
>
> But I actually used the same command syntax in another setting some
> months ago, it worked.
>
> I would appreciated any suggestions on how to obtain the first stage result.
>
>
> The current versions of ivreg2, ivreg29 and ivreg28 from SSC all give these same two messages. The FSRs that
> you're considering are the regressions of what lies on the left of the equals sign above on all exogenous variables.
> As there is nothing there, there are no such regressions to be estimated. You are using the 'heteroskedastic OLS' (HOLS)
> estimator, in which the excluded instruments on the right of the equals sign are being used to improve the efficiency
> of the estimates in the presence of heteroskedasticity of unknown form. However, their presence does not change
> the fact that there are no FSRs in this kind of model.
>
> Kit
> coauthor ivreg2*
>
> 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
>
>
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