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st: AW: manual 2sls, xtivreg and xtivreg2


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: manual 2sls, xtivreg and xtivreg2
Date   Wed, 30 Jun 2010 17:26:51 +0200

<> 


-h xtivreg2- mentions a few differences between -xtivreg- and -xtivreg2-.


The results seem to coincide for this example:

***
use http://fmwww.bc.edu/ec-p/data/macro/abdata.dta, clear
xtivreg ys k (n=l2.n l3.n), fe small
xtivreg2 ys k (n=l2.n l3.n), fe small
***





HTH
Martin

Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Yue Maggie Zhou
Gesendet: Mittwoch, 30. Juni 2010 16:58
An: statalist
Cc: Schaffer, Mark E
Betreff: st: manual 2sls, xtivreg and xtivreg2

Hi,

I have been puzzled by the different results I got when using manual 2sls,
xtivreg and xtivreg2 on the same dataset with the same variables. It seems
that manual 2sls, xtivreg and xtivreg2 report similar point estimates of the
coefficients. However, there are differences in reported N (number of
observation) and SE (standard errors). In particular, xtivreg2 reports fewer
number of observations (N 5% smaller) though the estimated coefficients are
similar. I guess the observations dropped are those with only one-year of
data. In addition, manual2sls (with or without robust SE) reports the
smallest SE, even smaller than xtivreg2 without robust SE.

Is this common or unique to my dataset?

Thanks,

Maggie

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