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st: RE: IV Regression and zero coefficients


From   "Kloek, TG (Gijs)" <[email protected]>
To   "Kloek, TG (Gijs)" <[email protected]>, "[email protected]" <[email protected]>
Subject   st: RE: IV Regression and zero coefficients
Date   Wed, 21 Aug 2013 10:39:55 +0200

Dear Statalist,

With the help of Joao Santos Silva I have found the solution. The problem could be solved by dividing very large regressors by one million. As a rule one should try to ensure that the y and the regressors are all of comparable magnitudes. The problem appears to have been solved in Stata 13.

Kind regards,

Gijs Kloek

-----Oorspronkelijk bericht-----
Van: Kloek, TG (Gijs) 
Verzonden: woensdag 14 augustus 2013 21:38
Aan: '[email protected]'
Onderwerp: IV Regression and zero coefficients

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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