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Re: st: IV vs 2SLS


From   Shikha Sinha <shikha.sinha414@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: IV vs 2SLS
Date   Fri, 3 Aug 2012 10:01:14 -0700

Thank you all for the wonderful suggestion. Now I am better informed
about the difference between IV and 2sls.

Thanks again,
Shikha

On Fri, Aug 3, 2012 at 5:03 AM, urbain thierry YOGO <yogout@gmail.com> wrote:
> 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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*
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