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RE: st: difference between cdsimeq, ivprobit and ivreg2


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: difference between cdsimeq, ivprobit and ivreg2
Date   Mon, 6 Jul 2009 22:50:41 +0100

Anne-Sophie,

> -----Original Message-----
> From: Anne-Sophie Bergerès [mailto:macadamianesofie@hotmail.com] 
> Sent: 06 July 2009 20:15
> To: statalist@hsphsun2.harvard.edu; Schaffer, Mark E
> Subject: difference between cdsimeq, ivprobit and ivreg2
> 
> 
> 
> I think, I have problems with posting.....
>  
> Good afternoon,
>  
> I am using the cdsimeq command. In order to test my 
> endogeneity and overidentification conditions, i use ivprobit 
> and ivreg2. However, I have a problem. The results from 
> cdsimeq and the ivprobit/ivreg2 are really different and i do 
> not understand why.
>  
> The first stage of cdsimeq and ivprobit are the same but not 
> the second stage. 
> The first stage of cdsimeq and ivreg2 are different and the 
> second stage as well.
>  
> I dont know if i have made a mistake in my syntax or if it is 
> because different estimator are used.
>  
> Syntax :
>  
> cdsimeq (C x1 x2 x3 x4 x5 x6) (D x1 x2 x3 x4 x7 x8 x9)
>  
> ivprobit D x1 x2 x3 x4 x7 x8 x9 (C = x5 x6), twostep
>  
> ivreg2 C x1 x2 x3 x4 x5 x6 (D = x7 x8 x9)

With respect to the first stages of -cdsimeq- and -ivreg2-, you must be referring to the regressions of C (the continuous variable) on the exogenous variables.  This is just the linear projection of the endogenous continuous variable on all the exogenous variables.

Here is an example from the -cdsimeq- help file, and the commands to reproduce it using -ivreg2- and -regress-.  Note that to get this to work, the estimation sample has to be the same, hence the -keep- command (-cdsimeq- doesn't have an e(sample) macro).  Maybe this is part of your problem?

--Mark

********* example *********

sysuse auto, replace
keep if rep78<.

* Example from help file
cdsimeq (price mpg rep78 weight length) (foreign gear_ratio displacement turn length)

* ivreg2 version of linear probability model, reporting first stage
ivreg2 foreign gear_ratio displacement turn length (price=mpg rep78 weight), first

* first-stage by hand
reg price mpg rep78 weight length gear_ratio displacement turn

****** end example ********

>  
>  
> Does anyone can help me with this issue ?
>  
> I thank you in advance,
>  
> Anne-Sophie
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