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st: RE: ivreg vs. ivreg2 standard errors


From   Steven Stillman <steven@thestillmans.org>
To   statalist@hsphsun2.harvard.edu
Subject   st: RE: ivreg vs. ivreg2 standard errors
Date   Wed, 29 Aug 2007 00:28:55 +1200

Giulio,
ivreg uses a small sample adjustment while ivreg2 does not.  ivreg2 with the
small option will replicate the standard errors from ivreg.  This is all
discussed at great length in the help file for ivreg2.

Cheers,
Steve (ivreg2 co-author).

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of
giulio.zanella@tiscali.it
Sent: Tuesday, 28 August 2007 11:03 p.m.
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.

Thanks in advance.

Giulio Zanella



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