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Re: st: IV vs 2SLS


From   Suryadipta Roy <sroy2138@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: IV vs 2SLS
Date   Fri, 3 Aug 2012 00:08:47 -0400

Hello Shikha,

You have already received some wonderful suggestions. Going back to
your question, preferably use -ivreg2- or -ivregress- to keep your
life simple (otherwise, you would need to correct for the standard
errors). These commands allow you to perform a series of diagnostic
tests in order to test for the strength of your instruments. In this
regard, I have found the following searches to be extremely useful (my
current Stata version 11.2) -findit ivreg2- or -findit ivregress- .
Also, I have learnt a lot by reading these two papers on the subject
(by no means an exhaustive list) :
http://www.stata-journal.com/article.html?article=st0030
http://www.stata-journal.com/article.html?article=st0030_3

Best wishes,
Suryadipta.


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
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