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Stata Technical Bulletin

Figure 1

In this specification, neither age nor systolic blood pressure affects the cholesterol level. But suppose that the systolic blood
pressure variable is jointly determined with the cholesterol level, chi, such that each affects the other. In that case, the ordinary
least squares estimator of the impact of sbp is biased and one must use two-stage least squares, also known as instrumental
variable estimation. Suppose that the socioeconomic status of the subject (ses in the evans2.dta dataset) is thought to be
correlated with sbp but not a function of chi and not a direct influence on chi. In that case, ses can be used as an instrument
for sbp.

This revised specification of the model can be estimated as follows:

. regpred2 chi sbp, f(60) t(300) i(20) adj(age smk) inst(age smk ses)
> level(90) xlabel ylabel

Source I

SS

df

MS

Number of obs
F( 3, 1214)
Prob > F
R-Squared
Adj R-Squared
Root MSE

(2SLS)

=    1218

=    3.62

= 0.0128

Model I

Residual

-7098941.09

9027740.07

3
1214

-2366313.70

7436.3592

________ __|__

Total I

1928798.98

1217

1584.

88001

= 86.234

chi I

Coef.

Std.

Err.

t

p>t

[907. Conf.

Interval]

---------+.

sbp I
age I
smk I

_cons I

-2.892893

2.751821

8.58432

479.3413

.8801326

.8866685

5.976911

82.25801

-3.287

3.104

1.436

5.827

0.001

0.002

0.151

0.000

-4.341687

1.292268

-1.254331

343.9356

-1.444098

4.211375

18.42297

614.747

Predicted Values and 90% Confidence Intervals

Outcome Variable:     Serum cholesterol — chi

Independent Variable: Systolic blood pressure — sbp

Covariates:           age smk

Instruments:          age smk ses

Variables set to Zero:

Variables set to One:

Total Observations:   1218

Confidence interval: 90

sbp

pred_y

lower

upper

1.

60

459.0124

335.2027

582.822

2.

80

401.1545

306.2782

496.0308

3.

100

343.2966

277.3359

409.2574

4.

120

285.4388

248.3339

322.5436

5.

140

227.5809

218.672

236.4899

6.

160

169.7231

148.3079

191.1383

7.

180

111.8652

61.72051

162.01

8.

200

54.00739

-25.03071

133.0455

9.

220

-3.850462

-111.8143

104.1134

10.

240

-61.70831

-198.6098

75.19314

11.

260

-119.5662

-285.4109

46.27853

12.

280

-177.424

-372.2151

17.36707

13.

300

-235.2819

-459.0212

-11.54249



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