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 on April 23, and its replacement, statalist.org is already up and running.


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

Re: st: IV vs 2SLS


From   David Greenberg <dg4@nyu.edu>
To   statalist@hsphsun2.harvard.edu, shikha.sinha414@gmail.com
Subject   Re: st: IV vs 2SLS
Date   Thu, 2 Aug 2012 20:29:18 -0400

There is a reason for the difference in standard errors. When you
predict x3_hat and use the predicted value in your second equation,
Stata doesn't know that x3_hat is not an observed variable, but an
estimate with some uncertainty attached to it. It treats this variable
as observed, and without measurement error. Consequently, this
procedure underestimates the standard errors of estimates obtained
using the second strategy. David Greenberg, Sociology Department, New
York University

On Thu, Aug 2, 2012 at 8:16 PM, Shikha Sinha <shikha.sinha414@gmail.com> wrote:
> Dear all,
>
> What is the difference between IV and 2sls and which is the preferred
> method to correct for endogeneity (advantage and disadvantage)?
>
> (a) ivreg2 y x1 x2 (x3=z)
>
> (b) reg x3 z x1 x2
> predict x3_hat
> reg y x3_hat x1 x2
>
> By employing (a) and (b) I get similar coeff, but standard errors are
> different.
>
> Thanks,
> Shikha
> *
> *   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/
*
*   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