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 ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
