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st: gmm vs gmm2s


From   "Gary D. Ferrier" <GFerrier@walton.uark.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: gmm vs gmm2s
Date   Tue, 9 Mar 2010 16:06:06 -0600

I replicated the gmm example based on the Griliches data from chapter 8 of IMEUS using ivreg2.  The book uses gmm; when I ran the problem gmm was replaced by gmm2s:

. use http://www.stata-press.com/data/imeus/griliches, clear
. ivreg2 lw s expr tenure rns smsa _I* (iq = med kww age mrt), gmm2s

The results (param estimates; test stats) differed a bit between gmm and gmm2s-I am wondering why?  Different algorithms?

Gary



Gary D. Ferrier

Department Chair and Holder of the Lewis E. Epley, Jr. Professorship in Economics

Department of Economics
Sam M. Walton College of Business
Business Building, Room 402
University of Arkansas
Fayetteville, AR 72701-1201 USA

tel. 1.479.575.6223
fax 1.479.575.3241

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