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Re: st: 2sls standard errors.


From   daniel cassar <danicassar@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: 2sls standard errors.
Date   Thu, 5 Apr 2007 13:23:02 -0500 (CDT)

Dear Austin, 

you're right. The numbers that were completely
inflated were t-statistics, not SEs. Really sorry
about that. 
Using the data set of your example, what I was trying
to "by hand", was:
reg3 (iq knn tenure s med)(med lw s expr), 2sls

Best regards & thanks, 
DC
--- Austin Nichols <austinnichols@gmail.com> escribió:

> daniel cassar --
> I would prefer -ivreg2- (from SSC) for such a model.
> It is impossible to tell from your post whether you
> have specified
> your model correctly, and it cannot be the case that
> "the standard
> errors were completely inflated (they grew very
> noticeably) so that
> almost all of the explanatory variables were
> significant" since bigger
> SEs imply less significance.  Perhaps you can
> specify your question in
> terms of a dataset that ships with Stata, or one
> available to everyone
> via the web, e.g.
> 
> ssc inst ivreg2, replace
> ssc inst estout, replace
> use
>
http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta,
> clear
> qui reg3 (lw=s expr iq) (iq=s expr med kww age)
> est store reg3
> qui ivreg2 lw s expr (iq=med kww age)
> est store ivreg
> qui reg iq med kww age s expr
> ren iq was_iq
> predict iq
> qui reg lw s expr iq
> est store byhand
> esta reg3 ivreg byhand, eq(1) se mti(reg3 ivreg
> byhand)
> 
> On 4/5/07, daniel cassar <danicassar@yahoo.com>
> wrote:
> > Hi,
> > I have a two-equation system that I solved with
> > -reg3-. However, when I did the same system "by
> hand",
> > the standard errors were completely inflated (they
> > grew very noticeably) so that almost all of the
> > explanatory variables were significant. the point
> > estimates were the same, though.
> >
> > Any ideas as to why this may happen? Which of the
> two
> > ways has the most reliable standard errors?
> >
> > Note: my system has the following form:
> > x1=a1 + by1 + by2 + bx2 + e
> > x2=a2 + bz1 + bz2 + bz3 + e
> >
> > And I got the weird results only in the second
> > equation  2. (Note that the dependent variable of
> the
> > second equation enters the first equation, but the
> > dependent variable of the first eq. does not enter
> the
> > second eq.)
> >
> 


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