The data files used for the examples in this text can be downloaded in a zip file from the Stata Web site. You can then use a program such as zip to unzip the data files.
Example 11.3 on page 305 using cornwell.dta.
use cornwell, clear
tsset county year
panel variable: county, 1 to 197
time variable: year, 81 to 87
ivreg d.lcrmrte (d.l.lcrmrte = l2.lcrmrte l3.lcrmrte) if year ==87 | year==88
Instrumental variables (2SLS) regression
Source | SS df MS Number of obs = 90
-------------+------------------------------ F( 1, 88) = 0.18
Model | -1.08714648 1 -1.08714648 Prob > F = 0.6704
Residual | 6.18074089 88 .070235692 R-squared = .
-------------+------------------------------ Adj R-squared = .
Total | 5.09359441 89 .057231398 Root MSE = .26502
------------------------------------------------------------------------------
D.lcrmrte | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lcrmrte |
LD | .212428 .4973782 0.43 0.670 -.7760066 1.200863
_cons | .0646336 .0404458 1.60 0.114 -.0157439 .145011
------------------------------------------------------------------------------
Instrumented: LD.lcrmrte
Instruments: L2.lcrmrte L3.lcrmrte
------------------------------------------------------------------------------
reg d.l.lcrmrte l2.lcrmrte l3.lcrmrte if year ==87 | year==88
Source | SS df MS Number of obs = 90
-------------+------------------------------ F( 2, 87) = 3.95
Model | .283912416 2 .141956208 Prob > F = 0.0228
Residual | 3.12513763 87 .035921122 R-squared = 0.0833
-------------+------------------------------ Adj R-squared = 0.0622
Total | 3.40905005 89 .038303933 Root MSE = .18953
------------------------------------------------------------------------------
LD.lcrmrte | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lcrmrte |
L2 | -.2616013 .0939729 -2.78 0.007 -.4483825 -.07482
L3 | .2598239 .0948714 2.74 0.007 .0712568 .448391
_cons | .0532431 .1287512 0.41 0.680 -.2026638 .30915
------------------------------------------------------------------------------
test l2.lcrmrte l3.lcrmrte
( 1) L2.lcrmrte = 0
( 2) L3.lcrmrte = 0
F( 2, 87) = 3.95
Prob > F = 0.0228