Help with saving first-stage Lewbel IV results (after examining earlier threads)

[Sneha Thayyil]

Hello everyone,
I am using Stata 18, and running a version of the code below to estimate an instrumental variables regression model with instruments generated from the dataset in addition to my (external) IVs, using Lewbel's (J.Bus.Ec.Stat., 2012) method:

ivreg2h lny $estvars_lewbel listeddummy1 listeddummy2 (lag_lnnwc=z1 z2) yrdummy1 yrdummy2 yrdummy3 yrdummy4 yrdummy5 yrdummy6 yrdummy7 yrdummy8 yrdummy9 indyrdummy1_1 indyrdummy1_2 indyrdummy1_3 indyrdummy1_4 indyrdummy1_5 indyrdummy1_6 indyrdummy1_7 indyrdummy1_8 indyrdummy1_9 indyrdummy2_1 indyrdummy2_2 indyrdummy2_3 indyrdummy2_4 indyrdummy2_5 indyrdummy2_6 indyrdummy2_7 indyrdummy2_8 indyrdummy2_9 indyrdummy3_1 indyrdummy3_2 indyrdummy3_3 indyrdummy3_4 indyrdummy3_5 indyrdummy3_6 indyrdummy3_7 indyrdummy3_8 indyrdummy3_9 indyrdummy4_1 indyrdummy4_2 indyrdummy4_3 indyrdummy4_4 indyrdummy4_5 indyrdummy4_6 indyrdummy4_7 indyrdummy4_8 indyrdummy4_9 indyrdummy5_1 indyrdummy5_2 indyrdummy5_3 indyrdummy5_4 indyrdummy5_5 indyrdummy5_6 indyrdummy5_7 indyrdummy5_8 indyrdummy5_9 indyrdummy6_1 indyrdummy6_2 indyrdummy6_3 indyrdummy6_4 indyrdummy6_5 indyrdummy6_6 indyrdummy6_7 indyrdummy6_8 indyrdummy6_9 indyrdummy7_1 indyrdummy7_2 indyrdummy7_3 indyrdummy7_4 indyrdummy7_5 indyrdummy7_6 indyrdummy7_7 indyrdummy7_8 indyrdummy7_9 indyrdummy8_1 indyrdummy8_2 indyrdummy8_3 indyrdummy8_4 indyrdummy8_5 indyrdummy8_6 indyrdummy8_7 indyrdummy8_8 indyrdummy8_9 indyrdummy9_1 indyrdummy9_2 indyrdummy9_3 indyrdummy9_4 indyrdummy9_5 indyrdummy9_6 indyrdummy9_7 indyrdummy9_8 indyrdummy9_9 indyrdummy10_1 indyrdummy10_2 indyrdummy10_3 indyrdummy10_4 indyrdummy10_5 indyrdummy10_6 indyrdummy10_7 indyrdummy10_8 indyrdummy10_9 yrdummy1 yrdummy2 yrdummy3 yrdummy4 yrdummy5 yrdummy6 yrdummy7 yrdummy8 yrdummy9) cluster(companycode) fe small z(x1 x2 x3 x4 x5 yrdummy1 yrdummy2 yrdummy3 yrdummy4 yrdummy5 yrdummy6 yrdummy7 yrdummy8 yrdummy9 listeddummy1 listeddummy2) sfirst savefirst

est restore "_ivreg2h_lag_lnnwc"
est dir
estimates replay _xtivreg2_lag_lnnwc

outreg2 using "D:\Test model_IV.xls", replace ctitle(firststage) bdec(4) sdec(4)

However, outreg2 still returns only the first stage results - though I can see it in

est dir

, I cannot export it.

I would be thankful for any help. As the IVs are generated using the dataset, running the first-stage regression individually to save the coefficients would not be possible...at least not without generating all the Lewbel IVs separately myself.

Edit: I also tried adding savefirst, and then running outreg2.

Thank you again,
Sneha Thayyil

[George Ford]

sysuse auto, clear

eststo e1: ivreg2h price mpg headroom (foreign = weight) , sfirst savefirst
est dir

outreg2 [e1 _xtivreg2_foreign] using test.xls , replace

[Sneha Thayyil]

Thank you for your helpful reply! This worked. I used the commands you suggested to store the 2nd stage results, then replayed the 1st stage results using their name in the directory, and stored them as well.