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st: ivreg2 & sort


From   "Millimet, Daniel" <[email protected]>
To   <[email protected]>
Subject   st: ivreg2 & sort
Date   Thu, 13 Jul 2006 16:00:57 -0500

Dear All,

 

I'm using XP, version 9.2, and the latest version of ivreg2.  As
evidenced by the results below, when I change the sort order of my data,
I am getting slightly different results.  Any explanations?

 

Thanks,

Dann

 

 

 

 

 

       log:  c:\tmp.log

  log type:  text

 opened on:  13 Jul 2006, 13:45:07

 

. g u=uniform()

 

. sort u

 

. ivreg2 e3pcl dum97 kl1 kl12 kl1i1 i1 i12 (trade2 tr2kl1 tr2kl12 tr2i1
tr2i12 = trade2h tr2i1h tr2i1h2 tr2kl1h tr2kl1h2) teicd

 

Instrumental variables (2SLS) regression

----------------------------------------

 

                                                      Number of obs =
96

                                                      F( 12,    83) =
16.08

                                                      Prob > F      =
0.0000

Total (centered) SS     =  35.22629964                Centered R2   =
0.6941

Total (uncentered) SS   =  7939.128731                Uncentered R2 =
0.9986

Residual SS             =  10.77670933                Root MSE      =
.335

 

------------------------------------------------------------------------
------

       e3pcl |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]

-------------+----------------------------------------------------------
------

      trade2 |  -.7432208   .5040607    -1.47   0.140    -1.731162
.24472

      tr2kl1 |   -1.19757   1.189741    -1.01   0.314    -3.529419
1.134279

     tr2kl12 |   1.945117   2.778457     0.70   0.484    -3.500559
7.390794

       tr2i1 |   3.487961   5.803636     0.60   0.548    -7.886958
14.86288

      tr2i12 |   3.877568   14.32855     0.27   0.787    -24.20587
31.961

       dum97 |   .1387204   .1369309     1.01   0.311    -.1296593
.4071

         kl1 |   .1138578   11.45822     0.01   0.992    -22.34384
22.57156

        kl12 |  -.0042718   .6687348    -0.01   0.995    -1.314968
1.306424

       kl1i1 |   .1161664   1.151198     0.10   0.920    -2.140141
2.372474

          i1 |   19.82222   78.54378     0.25   0.801    -134.1207
173.7652

         i12 |  -1.082534   3.972353    -0.27   0.785    -8.868202
6.703135

       teicd |  -.1607036   .0348189    -4.62   0.000    -.2289474
-.0924597

       _cons |  -99.18562   388.1661    -0.26   0.798    -859.9772
661.606

------------------------------------------------------------------------
------

Anderson canon. corr. LR statistic (identification/IV relevance test):
14.211

                                                   Chi-sq(1) P-val =
0.0002

------------------------------------------------------------------------
------

Sargan statistic (overidentification test of all instruments):
0.000

                                                 (equation exactly
identified)

------------------------------------------------------------------------
------

Instrumented:         trade2 tr2kl1 tr2kl12 tr2i1 tr2i12

Included instruments: dum97 kl1 kl12 kl1i1 i1 i12 teicd

Excluded instruments: trade2h tr2i1h tr2i1h2 tr2kl1h tr2kl1h2

------------------------------------------------------------------------
------

 

. replace u=uniform()

(1247 real changes made)

 

. sort u

 

. ivreg2 e3pcl dum97 kl1 kl12 kl1i1 i1 i12 (trade2 tr2kl1 tr2kl12 tr2i1
tr2i12 = trade2h tr2i1h tr2i1h2 tr2kl1h tr2kl1h2) teicd

 

Instrumental variables (2SLS) regression

----------------------------------------

 

                                                      Number of obs =
96

                                                      F( 12,    83) =
16.16

                                                      Prob > F      =
0.0000

Total (centered) SS     =  35.22629964                Centered R2   =
0.6955

Total (uncentered) SS   =  7939.128731                Uncentered R2 =
0.9986

Residual SS             =  10.72499924                Root MSE      =
.3342

 

------------------------------------------------------------------------
------

       e3pcl |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]

-------------+----------------------------------------------------------
------

      trade2 |   -.733174   .5028499    -1.46   0.145    -1.718742
.2523937

      tr2kl1 |  -1.202465   1.186883    -1.01   0.311    -3.528713
1.123783

     tr2kl12 |   1.934048   2.771783     0.70   0.485    -3.498548
7.366643

       tr2i1 |   3.237612   5.789697     0.56   0.576    -8.109985
14.58521

      tr2i12 |   4.601008   14.29413     0.32   0.748    -23.41498
32.61699

       dum97 |   .1339733    .136602     0.98   0.327    -.1337618
.4017083

         kl1 |   .1100066    11.4307     0.01   0.992    -22.29375
22.51376

        kl12 |   .0011364   .6671284     0.00   0.999    -1.306411
1.308684

       kl1i1 |   .1157626   1.148433     0.10   0.920    -2.135125
2.36665

          i1 |   24.10078   78.35514     0.31   0.758    -129.4725
177.674

         i12 |  -1.298903   3.962812    -0.33   0.743    -9.065873
6.468066

       teicd |  -.1609192   .0347353    -4.63   0.000    -.2289992
-.0928393

       _cons |  -120.3281   387.2339    -0.31   0.756    -879.2925
638.6363

------------------------------------------------------------------------
------

Anderson canon. corr. LR statistic (identification/IV relevance test):
14.198

                                                   Chi-sq(1) P-val =
0.0002

------------------------------------------------------------------------
------

Sargan statistic (overidentification test of all instruments):
0.000

                                                 (equation exactly
identified)

------------------------------------------------------------------------
------

Instrumented:         trade2 tr2kl1 tr2kl12 tr2i1 tr2i12

Included instruments: dum97 kl1 kl12 kl1i1 i1 i12 teicd

Excluded instruments: trade2h tr2i1h tr2i1h2 tr2kl1h tr2kl1h2

------------------------------------------------------------------------
------

 


****************************************************
Daniel L. Millimet, Associate Professor
Department of Economics
Box 0496
SMU
Dallas, TX USA
phone: 214.768.3269
fax: 214.768.1821
web: http://faculty.smu.edu/millimet
****************************************************

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