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st: ivreg2 and predict?


From   <[email protected]>
To   <[email protected]>
Subject   st: ivreg2 and predict?
Date   Thu, 24 Mar 2011 18:21:02 +0100

Dear all,

I'm trying to run the 'predict' command following the 'ivreg2' command.
My (simplified) equations are:

ivreg2 i (inf_dev = L.inf_dev) if yq<190, gmm2s bw(auto)
predict ihat

When I run these, I get the following error: "unrecognized command:
ivreg2_p" . Is this familiar to anyone?

Strangely, the predict command works with 'ivregress', however I'm
obliged to use 'ivreg2' as (my 2nd problem) I can't manage to create a
weighting matrix to correct for *only* autocorrelation and not
heteroskedasticity as well. In other words, my ivregress command for the
above equation would be:

ivregress gmm i (inf_dev = L.inf_dev) if yq<190, wmatrix(hac ba opt)

...but using ivregress in this way produces very different coefficient
results to the above 'ivreg2' command (which has the AC-only form I
need).

Any thoughts on these two questions? (1. why the error with 'predict'
and 'ivreg2', and 2. how to create a weighting matrix to correct only
for AC not H, using ivregress)

Thanks very much in advance,

Adrien






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