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st: RE: ivreg vs ivregress


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: ivreg vs ivregress
Date   Wed, 1 Dec 2010 18:34:04 +0100

If you wish the same results for ivreg and ivregress, add the option small to ivregress
This is a correction for small samples.

webuse hsng2
ivreg rent pcturban (hsngval = faminc)
ivregress 2sls rent pcturban (hsngval = faminc), small

ivreg2 is written by Baum, Schaffer and Stillman, and produces a lot more statistics and tests, some of which are available after ivregress, using - estat - (see ivregress post-estimation)
For more information and detailed help, type
- help ivreg2 -
and see the paper by the three authors, "Enhanced routines for instrumental variables/generalized method of moments estimation and testing" published in The Stata Journal (2007)7, Number 4, pp. 465-506

Eric de Souza
College of Europe
BE-8000 Brugge (Bruges)
Belgium

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Jerome Ette
Sent: 01 December 2010 17:38
To: statalist@hsphsun2.harvard.edu
Subject: st: ivreg vs ivregress

i always used the command ivreg for 2SLS analysis.
now i recognized that it is termed 'out-of-date' in the current version and it is recommended to use the function ivregress instead.

when i switch to ivregress i get different inference statistics than i used to get with ivreg. but of course the first stage regressions are the same, so are the residuals of both approaches and further post estimation tests.

here is an replication example from the STATA help files.

webuse hsng2
ivregress 2sls rent pcturban (hsngval = faminc)
ivreg2 rent pcturban (hsngval = faminc)
ivreg rent pcturban (hsngval = faminc)


so why aren't the output tables for all three commands (ivregress, ivreg2 and ivreg) exactly the same?

what has changed from ivreg to ivregress?

or am i missing an (optional) argument in any of the commands?


thanks!

best
jerome
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