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, is already up and running.

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

Re: st: IV vs 2SLS

From   Shikha Sinha <>
Subject   Re: st: IV vs 2SLS
Date   Thu, 2 Aug 2012 17:31:53 -0700

Thanks, David, but which is the preferred one and what are the advantages?

On Thu, Aug 2, 2012 at 5:29 PM, David Greenberg <> wrote:
> 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 <> 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:
>> *
>> *
>> *
*   For searches and help try:

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