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st: RE: suest issue


From   "Alexander Tsai" <act2@case.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: suest issue
Date   Sun, 24 Apr 2005 15:57:23 -0400

I am using Stata 8.2, up to date.

When I try to reproduce this (using the exact same do file), I get an error
message on the next-to-last line:

---- begin output ----

[...]

. predict double iveps, res

. est store iv

. est change iv, scorevars(ivsc)

. suest iv
score variables for model iv no longer exist in the data
r(198);

end of do-file
r(198);

---- end output ----

Am I doing something wrong?

Regards,
Alexander Tsai

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kit Baum
Sent: Sunday, April 24, 2005 11:37 AM
To: statalist@hsphsun2.harvard.edu
Cc: Mark Schaffer
Subject: st: suest issue

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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