Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Comparing coefficients from two ivregress models


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Comparing coefficients from two ivregress models
Date   Thu, 8 Sep 2011 07:58:00 -0400

YUNHEE CHANG :
You also can stack models to compare IV coefs a la -suest-:
http://www.stata.com/statalist/archive/2009-11/msg01485.html
which should be essentially equivalent to the -gmm- approach
with robust SEs.

On Thu, Sep 8, 2011 at 4:48 AM, Tirthankar Chakravarty
<tirthankar.chakravarty@gmail.com> wrote:
> 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?
<snip>

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index