[William Skoglund]

Dear Joao Santos Silva I have two questions:

(1) In the help file for IVQREG2 you state that " day* " adds daily fixed effects, however, the output doesn't show the typical output you would expect using " i.day " in a normal regression framework, how should I think about this?

(2) In a normal IV regression I get an F-statistic, is there an equivalent in the IVQREG case?

Best,
William

[Joao Santos Silva]

Dear William Skoglund,

1. I do not see any refernce to fixed effects in the help file; am I missing something? Anyway, there is no variable day in the data, so you cannot use i.day. What you have are 4 variables called day1-day4, and those are the variables included when we regress on day*.
2. I never found that F statistic useful (you invariable reject the null!), so I did not include it in the command. However, you can use the command test to get it. For example, after the second regression in the help file, you can type

test price day1 day2 day3 day4

Best wishes,

Joao

[William Skoglund]

Thank you Joao Santos Silva for your swift reply.

Let me rephrase my second question to clarify: I'm interested in the F-statistic that I usually obtain in a first stage regression using a standard instrumental variables regression.

Is there a similar measure that I can obtain using the ivqreg2 framework? Using the test function is not possible on the instruments.

Best,
William

[Joao Santos Silva]

Dear William Skoglund,

Thanks for clarifying. The estimator is implemented using a GMM approach, and therefore there is no first stage as such. However, you can use the F-test from 2SLS as an informal measure of the relevance of the instruments.

Best wishes,

Joao

[Cansu Oymak]

Dear Lumeng Liu,

The method you are using is fine. The p-value of the Wald statistics (t-tests) are reported by default; it that what you are asking about? To use factor variables, you need the xi prefix.

Best wishes,

Joao

Dear Professor Silva,

Thank you very much for ivqreg2 code.

I am now using your code as follows: xi: ivqreg2 haz06 z_ihs_refugee_share i.survey_year i.plate, q(0.1 0.25 0.50 0.75) instruments(z_ihs_instrument)

However, it says the model is not identified. My endogenous variable is z_ihs_refugee_share and my IV is z_ihs_instrument. I do not understand why I get this "The model is not identified" error.

Can you please help me?

Thank you in advance.

[Cansu Oymak]

Dear Lumeng Liu,

The method you are using is fine. The p-value of the Wald statistics (t-tests) are reported by default; it that what you are asking about? To use factor variables, you need the xi prefix.

Best wishes,

Joao

Dear Professor Silva,

Thank you very much for ivqreg2 code.

I am now using your code as follows: xi: ivqreg2 haz06 z_ihs_refugee_share i.survey_year i.plate, q(0.1 0.25 0.50 0.75) instruments(z_ihs_instrument)

However, it says the model is not identified. My endogenous variable is z_ihs_refugee_share and my IV is z_ihs_instrument. I do not understand why I get this "The model is not identified" error.

Can you please help me?

Thank you in advance.

[Joao Santos Silva]

Dear Cansu Oymak,

The list of instruments needs to include all exogeneous variables, including the controls.

Best wishes,

Joao

[Cansu Oymak]

Dear Cansu Oymak,

The list of instruments needs to include all exogeneous variables, including the controls.

Best wishes,

Joao

Dear Professor Silva,

Thank you very much for your reply.

When I run this code, it worked: xi: ivqreg2 haz06 z_ihs_refugee_share, q(0.25 0.50 0.75) instruments(z_ihs_instrument i.survey_year i.plate)

However, it says that all controls/exgoneous vars are used as instruments. I only have one IV which is z_ihs_instrument. Is there a mistake I am doing?

Thank you so much.

haz06 = dep var
z_ihs_refugee_share = endogenous var
z_ihs_instrument=instrument

[Joao Santos Silva]

Dear Cansu Oymak,

I think that there is a problem with terminology here: you may have just one excluded instrument, but the control variables are instruments for themselves, so you actually have many instruments. The problem you have is that you only included the controls in the list of instruments whereas they should also be included as regressors.

Best wishes,

Joao.