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st: RE: RE: different results ivregress ivreg2


From   Michael Betz <betz.40@buckeyemail.osu.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: different results ivregress ivreg2
Date   Tue, 23 Oct 2012 13:50:52 +0000

Thanks for pointing that out Mark. Sorry about that. What I meant was the coefficient estimates and standard errors are different though the same sample is being used in both estimations. Here is the output I get

. eststo tsls: ivregress 2sls totpovrt00 totpovrt90 $mining90 $shchg90 $base90 $full90 (mtmscquan90_00=maxsr1) if arc==1, vce(robust)

Instrumental variables (2SLS) regression               Number of obs =     417
                                                       Wald chi2(40) =44819.44
                                                       Prob > chi2   =  0.0000
                                                       R-squared     =  0.9231
                                                       Root MSE      =  1.7678

----------------------------------------------------------------------------------
                 |               Robust
      totpovrt00 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-----------------+----------------------------------------------------------------
  mtmscquan90_00 |   .0197637   .0330857     0.60   0.550    -.0450831    .0846105
      totpovrt90 |   .6417335   .0401982    15.96   0.000     .5629465    .7205205
  sh_oilandgas90 |  -.0114216   .0534854    -0.21   0.831     -.116251    .0934078
     sh_othmin90 |  -.0779878   .1107014    -0.70   0.481    -.2949586    .1389829
sh_oilandgas9000 |  -.0006486   .0008198    -0.79   0.429    -.0022553    .0009582
   sh_othmin9000 |   .0000284   .0010231     0.03   0.978    -.0019769    .0020337
    wttotpovrt90 |   .0703972   .0394975     1.78   0.075    -.0070165    .1478109
       nearmsakm |    .001292   .0048828     0.26   0.791    -.0082782    .0108622
    incmetgt250k |   .0075248   .0042509     1.77   0.077    -.0008069    .0158565
    incmetgt500k |   .0018189   .0033364     0.55   0.586    -.0047203     .008358
   incmetgt1500k |  -.0009213   .0012863    -0.72   0.474    -.0034424    .0015997
       nmetrop90 |  -1.04e-08   3.05e-07    -0.03   0.973    -6.08e-07    5.87e-07
      tempgr9095 |  -.0475761   .0134337    -3.54   0.000    -.0739056   -.0212466
      tempgr9500 |  -.0310936   .0115908    -2.68   0.007    -.0538112    -.008376
       sinctymsa |   1.235081   .5442064     2.27   0.023     .1684562    2.301706
        bigmsacc |   .1705238   1.470809     0.12   0.908    -2.712209    3.053257
       bigmsasub |   .0525589   .6951069     0.08   0.940    -1.309826    1.414943
      smallmsacc |   1.246925   .5412092     2.30   0.021     .1861748    2.307676
     smallmsasub |   .1642659   .4547302     0.36   0.718    -.7269889    1.055521
        msapop90 |   1.74e-07   2.77e-07     0.63   0.530    -3.69e-07    7.17e-07
           pop90 |  -5.89e-06   4.35e-06    -1.35   0.176    -.0000144    2.64e-06
   nonmetropop90 |   .0000171   6.19e-06     2.77   0.006     5.02e-06    .0000293
         isc8590 |          0   .5901839     0.00   1.000    -1.156739    1.156739
    pop90isc8590 |    .000119   .0000908     1.31   0.190    -.0000589    .0002968
     ptfor859090 |   .5204261   .5988624     0.87   0.385    -.6533226    1.694175
     ptfor808590 |   .2481833    .793824     0.31   0.755    -1.307683     1.80405
       pcthsgr90 |  -.0865189   .0250954    -3.45   0.001     -.135705   -.0373328
      pctsmcol90 |  -.0884322   .0643579    -1.37   0.169    -.2145715    .0377071
       pctasso90 |   .0512056   .0876607     0.58   0.559    -.1206061    .2230173
      pctcolgr90 |    .017978   .0446468     0.40   0.687    -.0695282    .1054842
      pctfhhwc90 |  -.1243082   .1230761    -1.01   0.312    -.3655329    .1169164
      pctmhhwc90 |   .1605806   .3118982     0.51   0.607    -.4507286    .7718899
      pctageu690 |   .0294137   .1492109     0.20   0.844    -.2630344    .3218617
     pctage71790 |   .3009958   .1147461     2.62   0.009     .0760976    .5258941
    pctage182490 |   .1295481   .0494469     2.62   0.009      .032634    .2264622
    pctage606490 |  -.4264594   .2692848    -1.58   0.113     -.954248    .1013292
     pctage65o90 |   .1548139   .0875984     1.77   0.077    -.0168758    .3265037
       popaash90 |  -.0003428   .0169835    -0.02   0.984    -.0336298    .0329442
   popnonaamin90 |  -.1197184   .0359193    -3.33   0.001    -.1901189   -.0493179
       pophisp90 |   .2976955   .2485536     1.20   0.231    -.1894607    .7848517
           _cons |          0  (omitted)
----------------------------------------------------------------------------------
Instrumented:  mtmscquan90_00
Instruments:   totpovrt90 sh_oilandgas90 sh_othmin90 sh_oilandgas9000
               sh_othmin9000 wttotpovrt90 nearmsakm incmetgt250k incmetgt500k
               incmetgt1500k nmetrop90 tempgr9095 tempgr9500 sinctymsa bigmsacc
               bigmsasub smallmsacc smallmsasub msapop90 pop90 nonmetropop90
               isc8590 pop90isc8590 ptfor859090 ptfor808590 pcthsgr90 pctsmcol90
               pctasso90 pctcolgr90 pctfhhwc90 pctmhhwc90 pctageu690 pctage71790
               pctage182490 pctage606490 pctage65o90 popaash90 popnonaamin90
               pophisp90 maxsr1

. 
. eststo tsls2: ivreg2 totpovrt00 totpovrt90 $mining90 $shchg90 $base90 $full90 (mtmscquan90_00=maxsr1) if arc==1, robust

IV (2SLS) estimation
--------------------

Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity

                                                      Number of obs =      417
                                                      F( 40,   376) =   109.23
                                                      Prob > F      =   0.0000
Total (centered) SS     =  16955.66734                Centered R2   =   0.9240
Total (uncentered) SS   =  128080.6204                Uncentered R2 =   0.9899
Residual SS             =  1289.013281                Root MSE      =    1.758

----------------------------------------------------------------------------------
                 |               Robust
      totpovrt00 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-----------------+----------------------------------------------------------------
  mtmscquan90_00 |   .0338978    .034418     0.98   0.325    -.0335602    .1013559
      totpovrt90 |    .633344   .0421794    15.02   0.000     .5506738    .7160141
  sh_oilandgas90 |  -.0041695   .0517569    -0.08   0.936    -.1056112    .0972722
     sh_othmin90 |  -.1063477   .1144918    -0.93   0.353    -.3307476    .1180521
sh_oilandgas9000 |  -.0005622   .0008112    -0.69   0.488     -.002152    .0010277
   sh_othmin9000 |  -.0002268   .0010025    -0.23   0.821    -.0021917    .0017382
    wttotpovrt90 |   .0699014    .039297     1.78   0.075    -.0071193    .1469222
       nearmsakm |   .0021653   .0051207     0.42   0.672     -.007871    .0122017
    incmetgt250k |   .0074402   .0042373     1.76   0.079    -.0008647    .0157451
    incmetgt500k |    .000783   .0035558     0.22   0.826    -.0061863    .0077523
   incmetgt1500k |   -.001102   .0013519    -0.82   0.415    -.0037518    .0015477
       nmetrop90 |   4.39e-08   2.97e-07     0.15   0.883    -5.39e-07    6.27e-07
      tempgr9095 |  -.0477614   .0130911    -3.65   0.000    -.0734194   -.0221034
      tempgr9500 |  -.0303755   .0115424    -2.63   0.008    -.0529981   -.0077529
       sinctymsa |   1.363374   .5410069     2.52   0.012     .3030197    2.423728
        bigmsacc |   1.746468   1.243426     1.40   0.160    -.6906013    4.183538
       bigmsasub |   .0791756      .6809     0.12   0.907    -1.255364    1.413715
      smallmsacc |   1.396968   .5481443     2.55   0.011     .3226254    2.471312
     smallmsasub |   .2747845   .4587298     0.60   0.549    -.6243094    1.173878
        msapop90 |   1.82e-07   2.74e-07     0.67   0.506    -3.54e-07    7.18e-07
           pop90 |  -8.43e-08   4.03e-06    -0.02   0.983    -7.99e-06    7.82e-06
   nonmetropop90 |   .0000193   6.48e-06     2.98   0.003     6.60e-06     .000032
         isc8590 |   8.173178   5.650488     1.45   0.148    -2.901575    19.24793
    pop90isc8590 |  -6.30e-06   .0000837    -0.08   0.940    -.0001704    .0001578
     ptfor859090 |   .5920391   .6181359     0.96   0.338     -.619485    1.803563
     ptfor808590 |   .3750986    .783866     0.48   0.632     -1.16125    1.911448
       pcthsgr90 |  -.0850652    .025138    -3.38   0.001    -.1343347   -.0357956
      pctsmcol90 |  -.0864964   .0647881    -1.34   0.182    -.2134788     .040486
       pctasso90 |   .0621457   .0905832     0.69   0.493    -.1153941    .2396855
      pctcolgr90 |   .0126505   .0435772     0.29   0.772    -.0727592    .0980603
      pctfhhwc90 |  -.0915021   .1190157    -0.77   0.442    -.3247687    .1417645
      pctmhhwc90 |   .1458696   .3018003     0.48   0.629    -.4456481    .7373873
      pctageu690 |   .0175032   .1760583     0.10   0.921    -.3275648    .3625712
     pctage71790 |   .2436343   .1628621     1.50   0.135    -.0755695    .5628381
    pctage182490 |   .1149265   .0793779     1.45   0.148    -.0406513    .2705044
    pctage606490 |  -.5235005   .3160347    -1.66   0.098    -1.142917    .0959162
     pctage65o90 |   .1614924   .0944564     1.71   0.087    -.0236388    .3466236
       popaash90 |   .0007198    .018228     0.04   0.968    -.0350064    .0364461
   popnonaamin90 |  -.1301205    .037705    -3.45   0.001     -.204021   -.0562201
       pophisp90 |   .2225309   .2507226     0.89   0.375    -.2688763    .7139381
           _cons |   .9326736   4.561277     0.20   0.838    -8.007266    9.872613
----------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic):              2.411
                                                   Chi-sq(1) P-val =    0.1205
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic):               21.531
                         (Kleibergen-Paap rk Wald F statistic):         20.958
Stock-Yogo weak ID test critical values: 10% maximal IV size             16.38
                                         15% maximal IV size              8.96
                                         20% maximal IV size              6.66
                                         25% maximal IV size              5.53
Source: Stock-Yogo (2005).  Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments):         0.000
                                                 (equation exactly identified)
------------------------------------------------------------------------------
Instrumented:         mtmscquan90_00
Included instruments: totpovrt90 sh_oilandgas90 sh_othmin90 sh_oilandgas9000
                      sh_othmin9000 wttotpovrt90 nearmsakm incmetgt250k
                      incmetgt500k incmetgt1500k nmetrop90 tempgr9095 tempgr9500
                      sinctymsa bigmsacc bigmsasub smallmsacc smallmsasub
                      msapop90 pop90 nonmetropop90 isc8590 pop90isc8590
                      ptfor859090 ptfor808590 pcthsgr90 pctsmcol90 pctasso90
                      pctcolgr90 pctfhhwc90 pctmhhwc90 pctageu690 pctage71790
                      pctage182490 pctage606490 pctage65o90 popaash90
                      popnonaamin90 pophisp90
Excluded instruments: maxsr1
------------------------------------------------------------------------------

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Schaffer, Mark E
Sent: Monday, October 22, 2012 5:08 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: different results ivregress ivreg2

Michael,

You haven't provided enough details for us to contribute a useful answer.  "Different result" can be practically anything!

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- 
> statalist@hsphsun2.harvard.edu] On Behalf Of Michael Betz
> Sent: 22 October 2012 18:47
> To: statalist@hsphsun2.harvard.edu
> Subject: st: different results ivregress ivreg2
> 
> Hi all,
> 
> I'm using Stata 12.1 and am getting different result for ivregress and
ivreg2
> 2sls. To my understanding they should be equivalent, which makes me 
> believe there is a detail in the estimation of one of them that I am
missing.
> My code is below:
> 
> ivregress 2sls totpovrt00 totpovrt90 $mining90 $shchg90 $base90
$full90
> (mtmscquan90_00=maxsr1) if arc==1, vce(robust) first
> 
> ivreg2 totpovrt00 totpovrt90 $mining90 $shchg90 $base90 $full90
> (mtmscquan90_00=maxsr1) if arc==1, robust first
> 
> I started with an extremely parsimonious model which gave me the same 
> results using both commands. As I added variables, the results began
to
> differ. If I add any of the following variables it leads to different
results
> between the two commands.
> 
> 
> Variable	Obs	Mean		Std. Dev.	Min
Max
> isc8590		417	.0693959	.0327513	.0171622
> 	.279515
> pop90isc8590	417	2999.111	4974.265	166.3676
> 	78940.03
> pctage606490	420	4.802992	.7325087	2.316738
> 	7.595499
> pctage65o90	420	14.35169	2.651081	4.709416
> 	24.75028
> 
> Thanks,
> Mike
> 
> 
> 
> 
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