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Re: st: Differences in results for ivreg2 and ivgmm0


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Differences in results for ivreg2 and ivgmm0
Date   Tue, 16 Mar 2004 09:42:02 -0000

Min,

Have a look at my previous posting:

> 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.)

You report the output of -ivreg2- and -ivgmm0-.  What is reported by 
Stata's official -ivreg- with the -robust- option?  I.e.,

ivreg y (x=lfe), robust nocon

--Mark

Date sent:      	Tue, 16 Mar 2004 00:15:18 -0500
Subject:        	st: Differences in results for ivreg2 and ivgmm0
To:             	statalist@hsphsun2.harvard.edu
From:           	"Min Y. Tan" <mtan@learnlink.emory.edu>
Send reply to:  	statalist@hsphsun2.harvard.edu

> 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 
> Instrumental Variables Estimation via GMM Number of obs = 20958
> Root MSE = 0.5614
> Hansen J = 0.6880
> ------------------------------------------------------------------------------
> | GMM
> y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> x | .5978652 .0698856 8.55 0.000 .4608919 .7348385
> ------------------------------------------------------------------------------
> Instrumented: x
> Instruments: lfe
> ------------------------------------------------------------------------------ 
> . ivreg2 y (x=lfe) , gmm nocon 
> GMM estimation
> -------------- 
> Number of obs = 20958
> F( 1, 20957) = 4.23
> Prob > F = 0.0398
> Total (centered) SS = 9290.634232 Centered R2 = 0.3901
> Total (uncentered) SS = 9304.416678 Uncentered R2 = 0.3910
> Residual SS = 5666.813789 Root MSE = .52 
> ------------------------------------------------------------------------------
> | Robust
> y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> x | .4330467 .2106386 2.06 0.040 .0202026 .8458908
> ------------------------------------------------------------------------------
> Hansen J statistic (overidentification test of all instruments): 0.000
> (equation exactly identified)
> ------------------------------------------------------------------------------
> Instrumented: x
> Instruments: lfe
> 
> *
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
*
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*   http://www.ats.ucla.edu/stat/stata/



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