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st: Re: ivreg2 and outreg


From   baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: ivreg2 and outreg
Date   Sat, 21 Dec 2002 08:06:02 -0500

--On Saturday, December 21, 2002 2:33 -0500 Pedro wrote:

Dear all,

How does one capture both the main and the auxiliary regression results
in -ivreg2- with -outreg-?

I'm using -outreg- from STB 59 but I can't get the auxiliary regression
output, even with the "onecol" option.

Does one have to estimate the auxiliary regression separately? If so,
how does one capture the quality of the instruments statistics, such as
the adjusted partial R^2?

Thank you

Pedro Martins
outreg knows nothing about the ancillary material produced by ivreg2 (especially because outreg far predates ivreg2; there may be a newer version of outreg on ssc than the one from STB-59, but I doubt that it would work any differently. If you execute the first Griliches example in help ivreg2 with the 'first' option, estimates list reveals that you can access

. mat list e(first)

e(first)[6,2]
iq s
sheapr2 .06400324 .16402257
pr2 .14032499 .35961407
F 30.320023 104.30946
df 4 4
df_r 743 743
pvalue 2.141e-23 1.668e-70


which are the summary stats from the first stage regressions. Elements of that matrix may be extracted, stored in local macros, and then added to the outreg command using the 'addstat' option. I recently did this with the results of 'mfx' (which required some fancy footwork, since mfx changes e()). It should be easier to do it here.

Kit
(coauthor ivreg2)
________________________________________________________________________
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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