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st: RE: Same results for xtivreg2(2sls/iv) and xtivreg2(gmm2s)


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Same results for xtivreg2(2sls/iv) and xtivreg2(gmm2s)
Date   Sat, 2 Apr 2011 14:55:10 +0100

Vikram,

They are the same estimation.  In your 2-step GMM estimation you haven't
added options for a robust VCV such as -cluster-.  The default
assumption is homoskedasticity (this is stated in the regression
output), and under conditional homoskedasticity and independence, the
2-step GMM estimator is the IV estimator.

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> vikramfinavker
> Sent: 02 April 2011 13:47
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Same results for xtivreg2(2sls/iv) and xtivreg2(gmm2s)
> 
> HI, when i run my following model i got the same results for xtiverg2
> /(2sls/iv) and for xtivreg2 (gmm2s) regression. Could anyone 
> please tell me is it possible or am i doing something wrong here?
> 
> I used the following syntax;
> 
> 2SLS/IV
> xtivreg2 y1 x1 x2 x3 x4 (x5 x6 = z1 z2 z3 z4) yeardummy 
> industrydummy, fe
> endog(x5 x6)
> 
> GMM
> xtivreg2 y1 x1 x2 x3 x4 (x5 x6 = z1 z2 z3 z4) yeardummy 
> industrydummy, gmm2s fe endog(x5 x6)
> 
> Please advise me.....
> 
> Regards,
> 
> Vikram Finavker 
> 
> --
> View this message in context: 
> http://statalist.1588530.n2.nabble.com/Same-results-for-xtivre
> g2-2sls-iv-and-xtivreg2-gmm2s-tp6233762p6233762.html
> Sent from the Statalist mailing list archive at Nabble.com.
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