st: Re: ivreg2 and outreg

[baum <baum@bc.edu>]

--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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