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  • Statistical Significance of the difference between two estimates from two separate instrumental variable regressions

    Dear Statalisters,

    I am trying to run two schooling regressions: one for boys and one for girls. In none iv-regressions, I know how to run it correctly. But in the instrumental variable case, I am lost.

    My code:
    gen group = cond(SEX== 0, 0, 1) xtivreg MATH c.AGE#i.group c.HEALTHRESTRICTIONS#i.group c.PARENTALCARE#i.group c.PARENTALEDUCATION#i.group c.PARENTALINCOME#i.group c.YEAR#i.group (ACTIVE = c.summary#i.group), re test 1.group#c.ACTIVE = 0.group#c.ACTIVE The error is:

    regressor I1.group#C.ACTIVE not found

    Does anyone know how to compare the second stage results?

    Thank you very much for your appreciate help.


  • #2
    Mathias:
    it seems that additional instruments cannot be investigated via -test-:
    Code:
    . use http://www.stata-press.com/data/r15/hsng
    (1980 Census housing data)
    
    . ivregress 2sls rent pcturban (hsngval = faminc i.region)
    
    Instrumental variables (2SLS) regression          Number of obs   =         50
                                                      Wald chi2(2)    =      90.76
                                                      Prob > chi2     =     0.0000
                                                      R-squared       =     0.5989
                                                      Root MSE        =     22.166
    
    ------------------------------------------------------------------------------
            rent |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
    -------------+----------------------------------------------------------------
         hsngval |   .0022398   .0003284     6.82   0.000     .0015961    .0028836
        pcturban |    .081516   .2987652     0.27   0.785     -.504053     .667085
           _cons |   120.7065   15.22839     7.93   0.000     90.85942    150.5536
    ------------------------------------------------------------------------------
    Instrumented:  hsngval
    Instruments:   pcturban faminc 2.region 3.region 4.region
    
    . test 2.region= 3.region
    variable region not found
    r(111);
    
    .
    Kind regards,
    Carlo
    (Stata 15.1 SE)

    Comment


    • #3
      Thank you very much, Carlo for your appreciated help. In this case I have to rethink my next steps.

      Comment

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