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st: p.s. re ivreg2


From   baum <baum@bc.edu>
To   StataList <statalist@hsphsun2.harvard.edu>
Subject   st: p.s. re ivreg2
Date   Sun, 22 Sep 2002 17:04:25 -0400

I mentioned in an earlier posting that a new version of ivreg2 is now available. Mark Schaffer determined Friday that _robust, a routine in official Stata which we employ in ivreg2, was misbehaving when time series operators are involved. That causes ivreg2,gmm in that context to be "thoroughly screwed up" (in technical terms) and ivreg2,robust to be "slightly screwed up". This only affects ivreg2 when time series operators are used. If the actual lagged or differenced variables are generated and listed, the bug will not bite. We expect that StataCorp will have a fix (in the form of an official update) for this very soon, as _robust may be used in a number of contexts. In the meanwhile, please note that erroneous results from ivreg2 in this special case are outside the authors' control.

Kit
________________________________________________________________________
Christopher F Baum, Boston College Economics, Chestnut Hill MA 02467 USA
baum@bc.edu http://fmwww.bc.edu/ec-v/baum.fac.html
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