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From |
David Greenberg <dg4@nyu.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: IV vs 2SLS |

Date |
Thu, 2 Aug 2012 20:44:44 -0400 |

using 2sls gets the standard errors right. David On Thu, Aug 2, 2012 at 8:31 PM, Shikha Sinha <shikha.sinha414@gmail.com> wrote: > Thanks, David, but which is the preferred one and what are the advantages? > > On Thu, Aug 2, 2012 at 5:29 PM, David Greenberg <dg4@nyu.edu> 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 <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/ * * 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/

**References**:**st: IV vs 2SLS***From:*Shikha Sinha <shikha.sinha414@gmail.com>

**Re: st: IV vs 2SLS***From:*David Greenberg <dg4@nyu.edu>

**Re: st: IV vs 2SLS***From:*Shikha Sinha <shikha.sinha414@gmail.com>

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