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st: IV Regression and zero coefficients
From
"Kloek, TG (Gijs)" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: IV Regression and zero coefficients
Date
Wed, 14 Aug 2013 21:37:35 +0200
Dear statalist,
I have tried to do a regression using an instrumental variable. I have used the command "ivregress 2sls". The result for the coefficient in the second stage is zero. That has surprised me. The commands "ivreg" or "gmm" lead to non zero coefficients and are more in line with my expectations. I am not the only user with this problem. There are two more similar messages in the Statlist:
Link 1: http://www.stata.com/statalist/archive/2011-07/msg00984.html
Link 2: http://www.stata.com/statalist/archive/2011-02/msg00764.html
Could anyone explain this, please?
Below you can find the command and the results:
. ivregress 2sls gcrolus (delchasf = delmsci) delsqcatindus, robust
Instrumental variables (2SLS) regression Number of obs = 11
Wald chi2(2) = .
Prob > chi2 = .
R-squared = 0.8229
Root MSE = .10261
------------------------------------------------------------------------------
| Robust
gcrolus | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
delchasf | 0 2.86e-23 0.00 1.000 -5.61e-23 5.61e-23
delsqcatin~s | 5.60e-11 1.87e-12 29.98 0.000 5.23e-11 5.96e-11
_cons | (omitted)
------------------------------------------------------------------------------
Instrumented: delchasf
Instruments: delsqcatindus delmsci
Kind regards,
Gijs Kloek
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