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Re: st: Differences in results for ivreg2 and ivgmm0


From   "Min Y. Tan" <mtan@learnlink.emory.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Differences in results for ivreg2 and ivgmm0
Date   Tue, 16 Mar 2004 10:06:37 -0500

Hi Mark, 
I have reestimated using ivreg, it gives me the same result as ivreg2. 
In this case of  exact identification, why would ivgmm0 produce different
results?
Just a clarifying programming question of ivreg2: If I want to estimate the
following model: dum * fe-square - alpha fe-square = error; and my instruments
is lag fe; the objective is to estimate alpha by minimizing the error term. how
would I program this in ivreg2 using gmm? I have programmed it in SAS but SAS
does not allow for cluster analysis which ivreg2 has.
minyen

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 

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