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


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: ivreg2 results do not replicate from stata 9 to stata 11
Date   Wed, 12 Aug 2009 16:05:48 -0400

<>
Ray said

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.

ivreg2 is a user-written program from SSC (it has been published in the Stata Journal, but the latest version is that on SSC) of Baum, Schaffer, Stillman. It has always been distributed with a certification script (help cscript) which allows us to ensure that its results are in accordance with those of ivreg2 and, for Stata 10+, ivregress. I have updated the certification script and run it on Stata 11. I added a comparison of ivreg and ivreg2 output with an [aw] expression near the top of the script. When the [aw] are used with robust, there are small differences in the e(V), which we will investigate. One question I would have is why you would use the hascons option unless you also use the nocons option. hascons is usually used to signal that you are providing your own constant term (perhaps as a full set of dummies) and using nocons to remove the constant term.
Thanks
Kit
Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html



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