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| From | Robert Davidson <rhd773@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: ivreg2 questions |
| Date | Mon, 19 Mar 2012 17:37:48 -0400 |
Dear Statalist, I am using ivreg2 (3.1.03) authors cfb & mes and have a few questions. My model is X = A + B + C (1) The endogenous regressor, C, is binary, and I am using 1 continuous instrument (D) for C. Q1) does this version of ivreg2 not produce the Stock-Yogo relative bias values? My output only include the size values. Q2) I have had a difficult time finding valid instruments for C. I have tried several that had reasonably high and significant correlations with C and no significant correlation with the error term from equation (1), but my f-stats were often around 7 or 8 (reasonably weak instruments). Then, I tried another variable that was not highly correlated with C and the f-stat was about 25 and the results were similar to the main estimation. Is it common that a variable that does not seem strongly associated with the endogenous regressor can serve as such a strong instrument or am I doing something wrong? I know I cannot test for exogeneity, but this new variable does not seem correlated with the error term from equation (1). I apologize that this may have been sent twice. Thank you, Rob * * 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/