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st: RE: RE: ivreg2: difference in first regression results


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: ivreg2: difference in first regression results
Date   Tue, 22 Apr 2008 18:15:31 +0100

Branko,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
> Sent: Tuesday, April 22, 2008 3:39 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: ivreg2: difference in first regression results
> 
> I suggest that you report the results of 
> 
> . which ivreg2 
> 
> in both cases, as "at home" and "in my office" do not convey 
> that information. 

Nick is right - this is the only way we can tell exactly which versions
you are using.

But I can see that you are probably not using the most up-to-date
version for Stata 8, because we released an -ivreg2- for Stata 8, called
-ivreg28-.

Try installing -ivreg28-, and making sure that your -ivreg2- is also
up-to-date, and see if you find any differences then.

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


> 
> Nick
> n.j.cox@durham.ac.uk 
> 
> bmilanovic@worldbank.org
> 
> I noticed that my ivreg2.ado for Stata8 which I use at home 
> produces different results (in the first regression: F test 
> of excluded instruments etc.) than my ivreg2.ado which I use 
> in my office with Stata9. The results are shown below.
> 
> The second equation is exactly the same, but in the first  t 
> values and the F statistic are very different.  The whole 
> thing is run with cluster and robust controls which I thought 
> were identical in both cases. But they obviously are not. So 
> am I doing something wrong?
> (The more recent version of ivreg2 seems to use degrees of 
> freedom based on clusters, not on the number of observations 
> which seems to be the reason why F critical values in the 
> first regression differ between the two
> versions.)
> 
> Any ideas why this is the case and which one of the version 
> is "correct"?
> 
> 
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