On Tue, 8 Mar 2016, stefania innocenti wrote:
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?
Which package is this?
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).
That's package "AER", I presume?
But how do I retrieve the first stage coefficients for
RULE=GEO+logFR+SETTLER and OPENNESS=GEO+logFR+SETTLER in this case?
The ivreg() function from "AER" does not store the first stage results but
just returns the IV estimates from the second stage. If you want the first
stage you need to run lm() manually:
lm(cbind(RULE, OPENNESS) ~ GEO + logFR + SETTLER, ...)
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.
______________________________________________
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.
