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st: re: question concerning xtreg & xtivreg2

From   Kit Baum <>
Subject   st: re: question concerning xtreg & xtivreg2
Date   Fri, 4 Jul 2008 07:09:53 -0400

< >

Borg80 wonders why -xtreg, fe- and -xtivreg2, fe- did not give him the same standard errors when a non-IV model was specified. It is because the default for -xtreg- is to produce small-sample-corrected standard errors and t statistics, whereas the default for -xtivreg2- (like that of -ivreg2-) is to produce large-sample standard errors and z statistics. They will produce the same standard errors if the - small- option is used:

xtreg ys k n, fe
xtivreg2 ys k n, fe small

Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

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