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 9.5 on page 222 using mroz.dta.
use mroz, clear
reg hours lwage educ age kidslt6 kidsge6 nwifeinc
Source | SS df MS Number of obs = 428
-------------+------------------------------ F( 6, 421) = 5.04
Model | 17228385.3 6 2871397.55 Prob > F = 0.0001
Residual | 240082635 421 570267.541 R-squared = 0.0670
-------------+------------------------------ Adj R-squared = 0.0537
Total | 257311020 427 602601.92 Root MSE = 755.16
------------------------------------------------------------------------------
hours | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lwage | -17.40781 54.21544 -0.32 0.748 -123.9745 89.15886
educ | -14.44486 17.96793 -0.80 0.422 -49.76289 20.87316
age | -7.729976 5.52945 -1.40 0.163 -18.59874 3.138791
kidslt6 | -342.5048 100.0059 -3.42 0.001 -539.078 -145.9317
kidsge6 | -115.0205 30.82925 -3.73 0.000 -175.6189 -54.42208
nwifeinc | -4.245807 3.655815 -1.16 0.246 -11.43173 2.940116
_cons | 2114.697 340.1307 6.22 0.000 1446.131 2783.263
------------------------------------------------------------------------------
ivreg2 hours educ age kidslt6 kidsge6 nwifeinc (lwage= exper expersq)
Instrumental variables (2SLS) regression
----------------------------------------
Number of obs = 428
F( 6, 421) = 3.41
Prob > F = 0.0027
Total (centered) SS = 257311019.9 Centered R2 = -1.7732
Total (uncentered) SS = 983895094 Uncentered R2 = 0.2747
Residual SS = 713583269.6 Root MSE = 1291
------------------------------------------------------------------------------
hours | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lwage | 1544.819 476.7913 3.24 0.001 610.3248 2479.312
educ | -177.449 57.66517 -3.08 0.002 -290.4706 -64.4273
age | -10.78409 9.498705 -1.14 0.256 -29.40121 7.833034
kidslt6 | -210.8339 175.4811 -1.20 0.230 -554.7706 133.1028
kidsge6 | -47.55708 56.45049 -0.84 0.400 -158.198 63.08384
nwifeinc | -9.249121 6.427897 -1.44 0.150 -21.84757 3.349327
_cons | 2432.198 589.2929 4.13 0.000 1277.205 3587.191
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments): 0.858
Chi-sq(1) P-val = 0.35425
------------------------------------------------------------------------------
Instrumented: lwage
Instruments: exper expersq educ age kidslt6 kidsge6 nwifeinc
------------------------------------------------------------------------------
reg hours educ age kidslt6 kidsge6 nwifeinc exper expersq if lwage~=.
Source | SS df MS Number of obs = 428
-------------+------------------------------ F( 7, 420) = 9.79
Model | 36102842.8 7 5157548.98 Prob > F = 0.0000
Residual | 221208177 420 526686.136 R-squared = 0.1403
-------------+------------------------------ Adj R-squared = 0.1260
Total | 257311020 427 602601.92 Root MSE = 725.73
------------------------------------------------------------------------------
hours | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
educ | -22.78841 16.43448 -1.39 0.166 -55.09248 9.515669
age | -19.66352 5.894026 -3.34 0.001 -31.24899 -8.078058
kidslt6 | -305.7209 96.45007 -3.17 0.002 -495.3058 -116.1359
kidsge6 | -72.36673 30.36099 -2.38 0.018 -132.0451 -12.68832
nwifeinc | .4438514 3.613498 0.12 0.902 -6.658941 7.546644
exper | 47.00509 14.55649 3.23 0.001 18.39244 75.61774
expersq | -.5136442 .4373576 -1.17 0.241 -1.373327 .3460382
_cons | 2056.643 346.4843 5.94 0.000 1375.583 2737.702
------------------------------------------------------------------------------
test age kidslt6 kidsge6 nwifeinc
( 1) age = 0
( 2) kidslt6 = 0
( 3) kidsge6 = 0
( 4) nwifeinc = 0
F( 4, 420) = 4.80
Prob > F = 0.0009
ivreg2 lwage educ exper expersq (hours=educ age kidslt6 kidsge6 nwifeinc)
Instrumental variables (2SLS) regression
----------------------------------------
Number of obs = 428
F( 4, 423) = 18.80
Prob > F = 0.0000
Total (centered) SS = 223.3274409 Centered R2 = 0.1112
Total (uncentered) SS = 829.5947861 Uncentered R2 = 0.7607
Residual SS = 198.4937964 Root MSE = .68
------------------------------------------------------------------------------
lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
hours | .0001608 .0002141 0.75 0.453 -.0002589 .0005805
educ | .1111175 .0152421 7.29 0.000 .0812436 .1409914
exper | .032646 .0179552 1.82 0.069 -.0025456 .0678375
expersq | -.0006765 .00044 -1.54 0.124 -.001539 .0001859
_cons | -.69279 .3048041 -2.27 0.023 -1.290195 -.095385
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments): 2.941
Chi-sq(3) P-val = 0.40084
------------------------------------------------------------------------------
Collinearities detected among instruments: 1 instrument(s) dropped
Instrumented: hours
Instruments: educ age kidslt6 kidsge6 nwifeinc educ exper expersq
------------------------------------------------------------------------------
reg lwage educ age kidslt6 kidsge6 nwifeinc exper expersq
Source | SS df MS Number of obs = 428
-------------+------------------------------ F( 7, 420) = 11.78
Model | 36.6476796 7 5.2353828 Prob > F = 0.0000
Residual | 186.679761 420 .444475622 R-squared = 0.1641
-------------+------------------------------ Adj R-squared = 0.1502
Total | 223.327441 427 .523015084 Root MSE = .66669
------------------------------------------------------------------------------
lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
educ | .0998844 .0150975 6.62 0.000 .0702084 .1295604
age | -.0035204 .0054145 -0.65 0.516 -.0141633 .0071225
kidslt6 | -.0558725 .0886034 -0.63 0.529 -.2300339 .1182889
kidsge6 | -.0176484 .027891 -0.63 0.527 -.0724718 .0371749
nwifeinc | .0056942 .0033195 1.72 0.087 -.0008307 .0122192
exper | .0407097 .0133723 3.04 0.002 .0144249 .0669946
expersq | -.0007473 .0004018 -1.86 0.064 -.0015371 .0000424
_cons | -.3579972 .3182963 -1.12 0.261 -.9836494 .2676551
------------------------------------------------------------------------------
test age kidslt6 kidsge6 nwifeinc
( 1) age = 0
( 2) kidslt6 = 0
( 3) kidsge6 = 0
( 4) nwifeinc = 0
F( 4, 420) = 0.91
Prob > F = 0.4555
Example 9.6 on page 235 using mroz.dta.
gen lwagesq = lwage^2
(325 missing values generated)
gen agesq=age^2
gen educsq = educ^2
gen nwifeincsq = nwifeinc^2
ivreg2 hours educ age kidslt6 kidsge6 nwifeinc (lwage lwagesq = exper expersq agesq educsq nwife incsq)
Instrumental variables (2SLS) regression
----------------------------------------
Number of obs = 428
F( 7, 420) = 3.54
Prob > F = 0.0010
Total (centered) SS = 257311019.9 Centered R2 = -1.2003
Total (uncentered) SS = 983895094 Uncentered R2 = 0.4246
Residual SS = 566171251.8 Root MSE = 1150
------------------------------------------------------------------------------
hours | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lwage | 1873.62 630.0193 2.97 0.003 638.8052 3108.436
lwagesq | -437.2911 346.7893 -1.26 0.207 -1116.986 242.4035
educ | -87.8511 65.76994 -1.34 0.182 -216.7578 41.05562
age | -9.142303 8.492916 -1.08 0.282 -25.78811 7.503508
kidslt6 | -185.0554 160.757 -1.15 0.250 -500.1332 130.0225
kidsge6 | -58.18949 49.63412 -1.17 0.241 -155.4706 39.09161
nwifeinc | -7.233422 5.751229 -1.26 0.208 -18.50562 4.03878
_cons | 1657.926 769.9772 2.15 0.031 148.798 3167.053
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments): 2.612
Chi-sq(3) P-val = 0.45537
------------------------------------------------------------------------------
Instrumented: lwage lwagesq
Instruments: exper expersq agesq educsq nwifeincsq educ age kidslt6 kidsge6
nwifeinc
------------------------------------------------------------------------------