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st: ivreg2 results do not replicate from stata 9 to stata 11


From   Rey Hernandez <rey.hernandez@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: ivreg2 results do not replicate from stata 9 to stata 11
Date   Wed, 12 Aug 2009 07:56:46 -0600

I recently updated from Stata 9 to Stata 11.
Using Stata 11, I opened the Stata 9 do-file and estimated the same
ivreg2 command:
     ivreg2 depvar (endogenousvar= instrument1 instrument2)
controlvariables [aw=weight], first hascon robust

Surprisingly, the standard errors in Stata 11 were much larger than in
Stata 9, though the coefficient estimates were unchanged. I looked in
the 'whatsnew' and found no explanation of changes in this command.

I've also tried:
version 9: ivreg2 depvar (endogenousvar= instrument1 instrument2)
controlvariables [aw=weight], first hascon robust
This did not replicate my original standard errors either.
Does anyone know the reason for the change in the estimated standard errors?

Thanks,
Rey Hernández-Julián
Assistant Professor
Department of Economics
Metropolitan State College of Denver
Denver, CO 80217-3362
303.556.4912
rherna42@mscd.edu

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