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st: ivreg vs. reg3

From   PATGIRI Rajdeep <[email protected]>
To   "'[email protected]'" <[email protected]>
Subject   st: ivreg vs. reg3
Date   Fri, 7 Jan 2005 17:15:42 +0100

Title: Message
I have a system of two equations, which I have been trying to estimate both through equation-by-equation "ivreg" and also 3-SLS using "reg3".  However, the point-estmates in the two procedures seem to differ a lot.  Crucially, the co-efficients of the instruments used in ivreg becomes all insignificant in reg3.  Can anybody shade some light on why is it happening this way.  For IV procedure, I used both ivreg and ivreg2 with GMM option.
Also, is there a way to calculate the Hansen J-statistic for overidentifying restrictions with reg3?
Thanks in advance!
INSEAD, PhD Student
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77305 Fontainebleau, France
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