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


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   re: st: Same results for xtivreg2(2sls/iv) and xtivreg2(gmm2s)
Date   Sat, 2 Apr 2011 12:16:12 -0400

<>
You're not doing anything wrong, except for not reading the help file.  In help ivreg2, the table under 

" Summary of robust, HAC, AC, GMM, LIML and CUE options "

indicates that saying gmm2s by itself has no effect on the VCE. You must combine that option with robust, cluster, bw, kernel etc. to get a robustfiied VCE.

As is discussed in the Baum-Schaffer-Stillman Stata Journal papers, using GMM with an assumed scalar identity covariance matrix is merely the good old 2SLS estimator, so it is not surprising that you reproduce 2SLS results if you use the gmm2s option without specifying a different assumption for the VCE.

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html




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