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From | Kit Baum <baum@bc.edu> |
To | statalist@hsphsun2.harvard.edu |
Subject | re: st: gmm vs gmm2s |
Date | Tue, 9 Mar 2010 19:15:25 -0500 |
<> Gary said I replicated the gmm example based on the Griliches data from chapter 8 of = IMEUS using ivreg2. The book uses gmm; when I ran the problem gmm was repl= aced by gmm2s: . use http://www.stata-press.com/data/imeus/griliches, clear . ivreg2 lw s expr tenure rns smsa _I* (iq =3D med kww age mrt), gmm2s The results (param estimates; test stats) differed a bit between gmm and gm= m2s-I am wondering why? Different algorithms? No. As you can see below, if you invoke -ivreg2- from SSC with the gmm option, it tells you that the option is deprecated, and is equivalent to doing -gmm2s robust-. In recent versions of -ivreg2-, using the option -gmm2s- does nothing: it gives back standard 2SLS results, as unless you state that the error VCE is non-iid, IV-GMM degenerates to 2SLS (see Hayashi's book or the 2007 Baum-Schaffer-Stillman paper, available from my website below). So when you say just -gmm2s- you are getting (non-robust) 2SLS results, which differ from those calculated by -gmm2s robust-, which are (a) robust and (b) calculated via IV-GMM, which for an overidentified equation, differ from robust 2SLS. . ivreg2 lw s expr tenure rns smsa _I* (iq = med kww age mrt), gmm -gmm- is no longer a supported option; use -gmm2s- with the appropriate option gmm = gmm2s robust gmm robust = gmm2s robust gmm bw() = gmm2s bw() gmm robust bw() = gmm2s robust bw() gmm cluster() = gmm2s cluster() Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/