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st: differents between 2SLS and ivreg


From   "Lee Chuntao" <chtl@econ.hku.hk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: differents between 2SLS and ivreg
Date   Fri, 13 Dec 2002 12:17:06 +0800

Hi, Listers

     I am puzzled that the IVREG and 2sls give out the following different
results:


. qui reg l_tobinq csk cash so1_cf nta

. predict l_tobinq_hat
(option xb assumed; fitted values)

. reg invest l_tobinq_hat cash so1_cf nta

      Source |       SS       df       MS              Number of obs =
1680
-------------+------------------------------           F(  4,  1675) =
112.65
       Model |  2747.75362     4  686.938406           Prob > F      =
0.0000
    Residual |  10213.7269  1675   6.0977474           R-squared     =
0.2120
-------------+------------------------------           Adj R-squared =
0.2101
       Total |  12961.4805  1679  7.71976207           Root MSE      =
2.4694

----------------------------------------------------------------------------
--
      invest |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
l_tobinq_hat |  -4.209413   .5775308    -7.29
0.000    -5.342171   -3.076655
        cash |   .2018678   .0128175    15.75   0.000     .1767277
.2270079
      so1_cf |   .4030912   .0384436    10.49   0.000     .3276886
.4784939
         nta |  -1.561609   .2029786    -7.69
0.000    -1.959727   -1.163491
       _cons |   43.40921   5.591037     7.76   0.000     32.44305
54.37536
----------------------------------------------------------------------------
--

.
. ivreg invest  cash so1_cf nta (l_tobinq = csk)

Instrumental variables (2SLS) regression

      Source |       SS       df       MS              Number of obs =
1680
-------------+------------------------------           F(  4,  1675) =
25.33
       Model | -32463.2779     4 -8115.81947           Prob > F      =
0.0000
    Residual |  45424.7584  1675  27.1192587           R-squared     =
.
-------------+------------------------------           Adj R-squared =
.
       Total |  12961.4805  1679  7.71976207           Root MSE      =
5.2076

----------------------------------------------------------------------------
--
      invest |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
    l_tobinq |  -4.209413    1.21795    -3.46
.001    -6.598277    -1.82055
        cash |   .2018678   .0270308     7.47   0.000     .1488501
.2548855
      so1_cf |   .4030913   .0810734     4.97   0.000     .2440753
.5621072
         nta |  -1.561609   .4280597    -3.65
0.000    -2.401197   -.7220208
       _cons |   43.40921   11.79089     3.68   0.000     20.28278
66.53564
----------------------------------------------------------------------------
--
Instrumented:  l_tobinq
Instruments:   cash so1_cf nta csk
----------------------------------------------------------------------------
--

.
Can you tell me the reason?


thanks

Lee Chuntao



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