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From |
"Austin Nichols" <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Some questions about ivreg2 xtivreg xtivreg2 |

Date |
Tue, 13 Nov 2007 14:24:59 -0500 |

Roma <fr1975@katamail.com>: The difference between ivreg2 and xtivreg2 is more or less the same as the difference between reg and xtreg; see the [XT] xtreg manual entry. In short, if yit = Xit b + Wi c + uit then yi(t-1) = Xi(t-1) b + Wi c + ui(t-1) and yit - yi(t-1) = Xit b - Xi(t-1) b + uit - ui(t-1) which is estimated via the -fd- option on -xtivreg2-. Also if yit = Xit b + Wi c + uit then Es(yis) = Es(Xis) b + Wi c + Es(uis) where Es is the mean over all t, and yit - Es(yis) = Xit b - Es(Xis) b + uit - Es(uis) which is estimated via the -fe- option on -xtivreg2-. Note this applies even if you don't observe Wi and can't estimate c, so by using -xtivreg2- you may eliminate another source of bias. -xtivreg2- is a program that transforms the data appropriately, then calls -ivreg2- to do the estimation. Hence a "wrapper" for -ivreg2-. On 11/13/07, fr1975@katamail.com <fr1975@katamail.com> wrote: > * ivreg2 y1 x1 x2 (x3 = x4 x5 x6), first bw(2) gmm2s kernel(tru) > > Then, I was suggested to compute the same equation by "xtivreg2", getting very different result (and the insignificance of one instrument)! > I know that as estimation methods differ you have something of a check on whether models > are stable, efficient and so on, but I really don't understand why and how it would be better estimating the equation above by xtivreg2 (or xtvreg). * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Some questions about ivreg2 xtivreg xtivreg2***From:*"fr1975@katamail.com" <fr1975@katamail.com>

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