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Re: st: Different coefficient magnitudes in ols and 2sls estimation
From
Sukesh Patro <kksp.stata@gmail.com>
To
statalist@hsphsun2.harvard.edu
Subject
Re: st: Different coefficient magnitudes in ols and 2sls estimation
Date
Thu, 22 Apr 2010 13:31:07 -0500
Kit,
We get a Sargan Chi-sq (overidentification test of all instruments) of
of 6.259, p-value 0.0124.
Thanks again,
SSKP
On Thu, Apr 22, 2010 at 11:40 AM, Kit Baum <baum@bc.edu> wrote:
> <>
> Alternatively, does it suggest a problem associated with errors in the
> raw variable, Y2? That is, the significantly smaller coefficient in
> the OLS estimate is attributable to large errors in Y2?
> Which estimation is more reliable, OLS or 2SLS?
>
> As you are using ivreg2, try adding the endog(Y2) option to your command, which in effect tests whether it would be appropriate to estimate the equation with OLS. Also, what is the Sargan or Hansen test saying about the validity of your instruments? I presume you have a Z1 and a Z2, rather than Z1 twice as you write.
>
> 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
>
>
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