st: ivreg2\ivgmm0

[Zhehui Luo <luozhehu@msu.edu>]

Dear Listers,

Can someone please tell me why ivreg, robust and ivreg2, robust give 
different results? eg, different Root MSE and standard errors, and why 
ivreg, robust did not report F-stat. Similarly, the ivgmm0 and ivreg2, gmm 
also give different results. What is the difference in their estimation 
methods? Thanks. (examples below)

Zhehui

. ivreg bmi93 edudegree91d* lgrproast191 , robust

IV (2SLS) regression with robust standard errors       Number of obs =    2487
                                                       F(244,  2239) =       .
                                                       Prob > F      =  0.0000
                                                       R-squared     =  0.3372
                                                       Root MSE      =  3.0303

------------------------------------------------------------------------------
             |               Robust
       bmi93 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       bmi91 |   .8316739   .2122722     3.92   0.000      .415403    1.247945
edudegre~1d2 |  -.1254119     .21793    -0.58   0.565     -.552778    .3019542
edudegre~1d3 |  -.2158311    .215216    -1.00   0.316    -.6378747    .2062126
edudegre~1d4 |  -.2562037   .2153335    -1.19   0.234    -.6784779    .1660706
edudegre~1d5 |  -.1086126   .2673033    -0.41   0.685    -.6328007    .4155755
edudegre~1d6 |  -.0664432   .2827665    -0.23   0.814    -.6209551    .4880686
lgrproast191 |   .0190294   .0373498     0.51   0.610    -.0542144    .0922732

. ivreg2 bmi93 edudegree91d* lgrproast191 , robust

IV (2SLS) regression with robust standard errors
------------------------------------------------

                                                      Number of obs =     2487
                                                      F(244,  2186) = 
368379740750474590000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000.00
                                                      Prob > F      =   0.0000
Total (centered) SS     =  31020.91547                Centered R2   =   0.3372
Total (uncentered) SS   =  1215817.365                Uncentered R2 =   0.9831
Residual SS             =  20559.79007                Root MSE      =  2.87522

------------------------------------------------------------------------------
             |               Robust
       bmi93 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       bmi91 |   .8316739   .2014106     4.13   0.000     .4369164    1.226431
edudegre~1d2 |  -.1254119   .2067789    -0.61   0.544    -.5306911    .2798673
edudegre~1d3 |  -.2158311   .2042037    -1.06   0.291     -.616063    .1844008
edudegre~1d4 |  -.2562037   .2043153    -1.25   0.210    -.6566542    .1442469
edudegre~1d5 |  -.1086126   .2536258    -0.43   0.668      -.60571    .3884848
edudegre~1d6 |  -.0664432   .2682978    -0.25   0.804    -.5922972    .4594107
lgrproast191 |   .0190294   .0354387     0.54   0.591    -.0504291    .0884879



.  ivreg2 bmi93 edudegree91d* lgrproast191 , gmm

GMM estimation
--------------

                                                      Number of obs =     2487
Total (centered) SS     =  31020.91547                Centered R2   =   0.2980
Total (uncentered) SS   =  1215817.365                Uncentered R2 =   0.9821
Residual SS             =  21776.63206                Root MSE      =  2.95909

------------------------------------------------------------------------------
             |               Robust
       bmi93 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       bmi91 |   .7992068   .0894907     8.93   0.000     .6238082    .9746055
edudegre~1d2 |  -.2873432   .2222355    -1.29   0.196    -.7229168    .1482303
edudegre~1d3 |  -.3704279    .211556    -1.75   0.080    -.7850701    .0442143
edudegre~1d4 |  -.2362584   .2377846    -0.99   0.320    -.7023075    .2297908
edudegre~1d5 |  -.0311559   .2842094    -0.11   0.913     -.588196    .5258842
edudegre~1d6 |   -.183481   .4743958    -0.39   0.699     -1.11328    .7463177
lgrproast191 |   .0646309   .0317272     2.04   0.042     .0024468     .126815

. ivgmm0 bmi93 edudegree91d* lgrproast191

Instrumental Variables Estimation via GMM           Number of obs  =      2487
                                                    Root MSE       =    2.9855
                                                    Hansen J       =  273.0648
                                                    Chi-sq(56) P-val = 0.00000
------------------------------------------------------------------------------
             |                 GMM
       bmi93 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       bmi91 |   .7992069   .0896961     8.91   0.000     .6234058    .9750079
edudegre~1d2 |  -.2873432   .1770643    -1.62   0.105     -.634383    .0596965
edudegre~1d3 |  -.3704279   .1617584    -2.29   0.022    -.6874685   -.0533873
edudegre~1d4 |  -.2362583   .1789966    -1.32   0.187    -.5870852    .1145685
edudegre~1d5 |  -.0311559   .2170901    -0.14   0.886    -.4566446    .3943328
edudegre~1d6 |   -.183481   .2393456    -0.77   0.443    -.6525897    .2856278
lgrproast191 |   .0646309   .0290632     2.22   0.026     .0076681    .1215937

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/