st: re: question concerning xtreg & xtivreg2

[Kit Baum <baum@bc.edu>]

<  >

Borg80 wonders why -xtreg, fe- and -xtivreg2, fe- did not give him  
the same standard errors when a non-IV model was specified. It is  
because the default for -xtreg- is to produce small-sample-corrected  
standard errors and t statistics, whereas the default for -xtivreg2-  
(like that of -ivreg2-) is to produce large-sample standard errors  
and z statistics. They will produce the same standard errors if the - 
small- option is used:

use http://fmwww.bc.edu/ec-p/data/macro/abdata.dta
xtreg ys k n, fe
xtivreg2 ys k n, fe small



Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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