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Re: st: RE: Different coefficient magnitudes in ols and 2sls estimation


From   Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Different coefficient magnitudes in ols and 2sls estimation
Date   Fri, 23 Apr 2010 00:44:35 +0530

Not really, see the advice given on page 95:
http://repec.org/usug2007/baumUKSUG2007.pdf

However, use of a HAC-robust variance-covariance matrix is recommended.

T

2010/4/23 Sukesh Patro <kksp.stata@gmail.com>:
> The Y2 variable is binary. Should that matter? I started this
> discussion under the assumption that it should not matter. Please note
> too the sample size is quite large (say over 10,000 observations).
> SSKP
>
> On Thu, Apr 22, 2010 at 1:42 PM, Tirthankar Chakravarty
> <tirthankar.chakravarty@gmail.com> wrote:
>> " Is this test focused on the two coefficients that were specified?"
>> Indeed. It is a quadratic in the difference of the estimators weighted
>> by the inverse of the difference of the variance-covariance matrices.
>> T
>> 2010/4/23 Nick Cox <n.j.cox@durham.ac.uk>:
>>> I know nothing about this stuff. Is this test focused on the two coefficients that were specified? It sounds as if the reviewer were just saying "Why are these so different?", which could be a reasonable question.
>>> Nick
>>> n.j.cox@durham.ac.uk
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recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
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