Answer by Andy for Mixing instruments in ivreg2 estimation in Stata
What Stata does is perfectly fine and it is not a problem. Consistent estimation of IV/2SLS regressions requires that all the instruments appear in all first stages. In the two first stages you should...
View ArticleMixing instruments in ivreg2 estimation in Stata
When using a 2sls estimation with ivreg2 with more than one endogenous variable, Stata necessarily -- as it seems to be -- instruments both endogenous variables with the same set of instruments; that...
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