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st: RE: ivreg vs. ivreg2 standard errors


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: ivreg vs. ivreg2 standard errors
Date   Tue, 28 Aug 2007 13:16:01 +0100

Giulio,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> giulio.zanella@tiscali.it
> Sent: Tuesday, August 28, 2007 12:03 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: ivreg vs. ivreg2 standard errors
> 
> It appears that ivreg and ivreg2 compute standard errors in a 
> different way.
> Those reported by ivreg are consistent with what other packages (e.g. 
> RATS) compute, so I wonder how standard errors are computed by ivreg2.
> 
> Any hint would be appreciated.

Have you read the ivreg2 help file?  Check out the -small- option.  This
is how you can replicate ivreg SEs.

Cheers,
Mark

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
44-131-451-3296 fax
http://www.sml.hw.ac.uk/cert


> 
> Thanks in advance.
> 
> Giulio Zanella
> 
> 
> 
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