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Re: st: Comparing coefficients from two ivregress models


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Comparing coefficients from two ivregress models
Date   Thu, 08 Sep 2011 14:29:09 +0200

This seems to be the simplest solution!  Thanks T.

Best,
J.

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On 08.09.2011 10:48, Tirthankar Chakravarty 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?
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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