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Re: st: IV vs 2SLS


From   urbain thierry YOGO <yogout@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: IV vs 2SLS
Date   Fri, 3 Aug 2012 13:03:25 +0100

IV is a method while 2sls is an estimator such as GMM, ML or LIML. In
other words you are using an IV method means that you make use of an
instrument to solve the issue of endogeneity. Then you can't choose
between IV and 2sls but you can choose between GMM, LIML and 2SLS. For
instance look at the ivregress command in stata. When you use ivreg,
the standards errors are automatically corrected by stata. But when
you use reg and you recover the predicted value, you have to correct
the standard error. Then using ivreg or ivreg2 for me seems better
than computing standard error by hand (after reg). May be the boostrap
could handle this. Just check.

2012/8/3, Shikha Sinha <shikha.sinha414@gmail.com>:
> 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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>


-- 
*Urbain Thierry YOGO
Ph.D candidate in Economics*
*
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