Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: re: question concerning xtreg & xtivreg2


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
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:

use http://fmwww.bc.edu/ec-p/data/macro/abdata.dta
xtreg ys k n, fe
xtivreg2 ys k n, fe small



Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


*
* 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/




© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index