Restoring first stage estimates with ivreghdfe (ivreg2 based command) and multiple endogenous variables/instruments

[Roberto Amaral]

Hi, I am running a regression with ivreghdfe (which builds on ivreg2) and I want to restore the first stage estimates. I have done so previously. Usually, I would do something like this for a single endogenous variable and a single instrument:

ivreghdfe outcome (endogenous=instrument), absorb(fe) savefirst
matrix first = e(first)
estimates restore _ivreg2_endogenous

However, now I am working witha regression with multiple endogenous and multiple instruments, something like:

local endogenous = "endogenous_*"
local instruments = "instrument_*"
ivreghdfe outcome (`endogenous'=`instrument'), absorb(fe) savefirst

In this case, how can I call estimates restore _ivreg2_ ? I am unsure what to write after _ivreg2_ to restore estimates. I have tried the name of the first endogenous variable and `endogenous', but both did not work. I also am not sure how I can check what the name is instead of just trying to guess it.

[George Ford]

sysuse auto , clear
ivreghdfe price weight (length displacement=gear mpg), absorb(rep78) tol(1e-6) savefirst
estimates dir
estimates replay _ivreg2_length
estimates replay _ivreg2_displacement
estimates replay _ivreg2_*

[Roberto Amaral]

It works. I am having trouble with

estimates dir

for some reason, but

estimates replay _ivreg2_*

works fine. Thanks for your help!