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Re: st: Some questions about ivreg2 xtivreg xtivreg2


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).
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