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Re: st: Comparing coefficients from two ivregress models


From   Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Comparing coefficients from two ivregress models
Date   Thu, 8 Sep 2011 01:48:56 -0700

Use -gmm- and specify that you want the equations to be considered
independently (the moment conditions are independent). Note that the
point estimates are identical from two independent calls to -ivregress
2sls- and the corresponding -gmm-. Throughout, "turn" is the included
endogenous variable.

/**********************************************/
sysuse auto, clear
ivregress 2sls mpg gear_ratio (turn = weight length headroom)
ivregress 2sls mpg gear_ratio length (turn = weight length headroom)

gmm (eq1: mpg - {b1}*turn - {b2}*gear_ratio - {b0}) ///
	(eq2: mpg - {c1}*turn - {c2}*gear_ratio -{c3}*length - {c0}), ///
	instruments(gear_ratio weight length headroom) ///
	onestep winitial(unadjusted, indep)
test [b2]_cons = [c2]_cons
/**********************************************/

T

On Thu, Sep 8, 2011 at 1:12 AM, Maarten Buis <maartenlbuis@gmail.com> wrote:
> On Thu, Sep 8, 2011 at 9:56 AM, YUNHEE CHANG wrote:
>> I am estimating two differently-specified IV regressions and trying to compare coefficients between the two models. I tried:
>>
>> ivregress 2sls y x1 x2 (x1=z)
>> est store reg1
>>
>> ivregress 2sls y x1 x2 x3 (x1=z)
>> est store reg2
>>
>> test [reg1]_b[x1]=[reg2]_b[x1]
>>
>> Then I get "equation [reg1] not found" error. What am I doing wrong?
>
> That might have worked after you combined both models with -suest-,
> but -ivregress- cannot be used together with -suest-. So what you want
> cannot be done.
>
> Sorry,
> Maarten
>
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
>
> http://www.maartenbuis.nl
> --------------------------
> *
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> *   http://www.stata.com/help.cgi?search
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>



-- 
Tirthankar Chakravarty
tchakravarty@ucsd.edu
tirthankar.chakravarty@gmail.com

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