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st: suest issue


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: suest issue
Date   Sun, 24 Apr 2005 11:36:39 -0400

Dear tech support

I am using Stata/SE 8.2 848041153, up to date.

I am puzzled by what -suest- is doing when the routine generating the estimates is -ivreg-. Even when ivreg is invoked to estimate an ols regression (with no instruments), use of the 'pscore' option (which merely generates OLS residuals in this case) causes the suest results to wildly differ from those of suest after regress--standard errors off by a power of 10 or so. Please see the do-file results. Whether I generate resids with predict or ivreg pscore I am using the same series, but suest after ivreg seems to be doing something very different than OLS with robust standard errors (which I believe it should be reproducing, or nearly so, in this case).

Thanks
Kit

---cut here--
webuse auto,clear
regress mpg weight
predict double olseps, res
est store ols
suest ols
regress mpg weight,robust

ivreg2 mpg weight, psc(ivsc)
predict double iveps, res
est store iv
est change iv, scorevars(ivsc)
suest iv

su olseps iveps ivsc
--cut here--

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

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