Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Reconciling ivgmm0 and ivreg2

From   Mark Schaffer <[email protected]>
To   [email protected], Marcello Pagano <[email protected]>
Subject   Re: st: Reconciling ivgmm0 and ivreg2
Date   Mon, 15 Mar 2004 23:03:41 +0000 (GMT)


The regression being estimated is exactly identified, so the parameter 
estimates of feasible GMM (implemented by ivgmm0 and ivreg2, gmm) and 
simple IV coincide, or are supposed to at any rate.  (LIML should also 
give the same parameters if the equation is exactly identified.)

Try estimating with Stata's built-in ivreg, and the coefficient estimates 
it reports should match one or the other.  (I think they'll match
-ivreg2-, because I recently spent some time on the programming involved 
in a similar special case.)


Quoting Marcello Pagano <[email protected]>:

> Minyen is having trouble posting this message:
> Hi
> I can't reconcile the difference in the coefficients I am getting in
> the
> two programs. I am using what I have just installed to STATA.
> Minyen
> .ivgmm0 y (x=lfe) ,  nocon
>   x |   .5978652   .0698856     8.55   0.000     .4608919   
> .7348385
> . ivreg2 y (x=lfe) , gmm nocon
>   x |   .4330467   .2106386     2.06   0.040     .0202026   
> .8458908
> *
> *   For searches and help try:
> *
> *
> *

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]


This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed.  If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail.  In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail.  Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail.  Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
*   For searches and help try:

© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index