Min,
Have a look at my previous posting:
> 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.)
You report the output of -ivreg2- and -ivgmm0-. What is reported by
Stata's official -ivreg- with the -robust- option? I.e.,
ivreg y (x=lfe), robust nocon
--Mark
Date sent: Tue, 16 Mar 2004 00:15:18 -0500
Subject: st: Differences in results for ivreg2 and ivgmm0
To: [email protected]
From: "Min Y. Tan" <[email protected]>
Send reply to: [email protected]
> 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
> Instrumental Variables Estimation via GMM Number of obs = 20958
> Root MSE = 0.5614
> Hansen J = 0.6880
> ------------------------------------------------------------------------------
> | GMM
> y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> x | .5978652 .0698856 8.55 0.000 .4608919 .7348385
> ------------------------------------------------------------------------------
> Instrumented: x
> Instruments: lfe
> ------------------------------------------------------------------------------
> . ivreg2 y (x=lfe) , gmm nocon
> GMM estimation
> --------------
> Number of obs = 20958
> F( 1, 20957) = 4.23
> Prob > F = 0.0398
> Total (centered) SS = 9290.634232 Centered R2 = 0.3901
> Total (uncentered) SS = 9304.416678 Uncentered R2 = 0.3910
> Residual SS = 5666.813789 Root MSE = .52
> ------------------------------------------------------------------------------
> | Robust
> y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> x | .4330467 .2106386 2.06 0.040 .0202026 .8458908
> ------------------------------------------------------------------------------
> Hansen J statistic (overidentification test of all instruments): 0.000
> (equation exactly identified)
> ------------------------------------------------------------------------------
> Instrumented: x
> Instruments: lfe
>
> *
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> * http://www.stata.com/support/faqs/res/findit.html
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> * http://www.ats.ucla.edu/stat/stata/
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
*
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