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st: Standard errors in first stage ivregress vs. reg
From
Ingo Isphording <[email protected]>
To
[email protected]
Subject
st: Standard errors in first stage ivregress vs. reg
Date
Mon, 5 Dec 2011 10:19:25 +0100
Dear statalist,
I want to reproduce the first stage of ivregress by using reg to get
access to the coefficient vector and covariance matrix. Unfortunately,
the standard errors differ between
ivregress 2tsls y x1 (x2 = z), robust firststage
and
reg x2 x1 z, robust
The point estimates are the same, the standard errors differ
(marginally). This problem only occurs if I estimate the model with
robust standard errors.
To make it clear, I only refer to differences in the first stage,
which I do not understand. Is there any other way to obtain the
estimates to use them in estout?
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