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Re: st: Reconciling ivgmm0 and ivreg2


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Marcello Pagano <pagano@hsph.harvard.edu>
Subject   Re: st: Reconciling ivgmm0 and ivreg2
Date   Mon, 15 Mar 2004 23:03:41 +0000 (GMT)

Marcello/Minyen,

The regression being estimated is exactly identified, so the parameter 
estimates of feasible GMM (implemented by ivgmm0 and ivreg2, gmm) and 
simple IV coincide, or are supposed to at any rate.  (LIML should also 
give the same parameters if the equation is exactly identified.)

Try estimating with Stata's built-in ivreg, and the coefficient estimates 
it reports should match one or the other.  (I think they'll match
-ivreg2-, because I recently spent some time on the programming involved 
in a similar special case.)

--Mark

Quoting Marcello Pagano <pagano@hsph.harvard.edu>:

> Minyen is having trouble posting this message:
> 
> 
> Hi
> 
> I can't reconcile the difference in the coefficients I am getting in
> the
> two programs. I am using what I have just installed to STATA.
> 
> Minyen
> 
> .ivgmm0 y (x=lfe) ,  nocon
>   x |   .5978652   .0698856     8.55   0.000     .4608919   
> .7348385
> 
> . ivreg2 y (x=lfe) , gmm nocon
>   x |   .4330467   .2106386     2.06   0.040     .0202026   
> .8458908
> 
> *
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> 



Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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