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Re: st: Standard errors in first stage ivregress vs. reg


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Standard errors in first stage ivregress vs. reg
Date   Tue, 6 Dec 2011 07:09:51 -0500

<>
On Dec 6, 2011, at 2:33 AM, Ingo wrote:

> 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?

Yes. The -savefirst- option in Baum-Schaffer-Stillman's -ivreg2-, on SSC, does this for a living.

Kit

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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