[R] ivreg with two endogenous variables and 1 instrument respectively
stefania innocenti
innocenti at merit.unu.edu
Tue Mar 8 22:31:45 CET 2016
Hello,
I am trying to use the ivregress function to estimate a second stage model which looks like the following:
LogGDP=GEO+RULE+OPENNESS
I would like to instrument Rule (RULE) with Settler mortality (SETTLER) and Openness (OPENNESS) with logFrankelRomer (FR). I thus have one instrument per each endogenous variable.
Thus the second stage look like:
RULE=GEO+logFR+SETTLER
OPENNESS=GEO+logFR+SETTLER
Can I do this simultaneously with the ivregress function?
Maybe I got something wrong with the syntax but if I do:
ivregress(logGDP ~RULE+GEO+OPENNESS, c(RULE~SETTLER+FR+GEO, OPENNESS~SETTLER+FR+GEO), mydata), the function bugs and I cannot proceed.
Of course, I could run the two first stages separately, but the coefficient of the first stage are then wrong.
The command ivreg(logGDP ~ RULE + GEO +OPEN| GEO + SETTLER+FR) gives me correct second stage coefficients (I checked with what I obtained doing the 2sls by hand).
But how do I retrieve the first stage coefficients for RULE=GEO+logFR+SETTLER and OPENNESS=GEO+logFR+SETTLER in this case?
Any advice is more than appreciated.
Thanks a lot in advance.
Best regards,
Stefania
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