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st: ivregress with gmm vs 2sls


From   Tunga Kantarcı <tungakantarci@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: ivregress with gmm vs 2sls
Date   Thu, 28 Jul 2011 12:13:56 +0200

Hello,

I am estimating an IV model using the gmm and 2sls estimation methods.
They produce substantially different results for some reason I am
trying to figure out. Please note the following.

1. My data is panel but, for some reason, I am not exploiting the
panel nature of the data (by using a FE or RE model) and I pool the
cross sections.
2. When I exclude the variable AGET from the regression, then the
results from gmm and 2sls are very similar. Hence, the problem seems
to be about  specification. When AGET is included, the coefficient to
the variable HWP0134 is estimated to be zero in the 2sls regression.
Hence, I am trying to figure out why I receive a zero coefficient.
3. I tried the ivreg2 command with the 2sls estimation method to see
if it also gives me a zero coefficient estimate. It did not. And the
results using the ivreg2 command with the 2sls methid are rather
similar to the results from the ivregress command using the gmm
method. Hence, it seems that there is something going on with the
ivregress with 2sls method.

I would appreciate any clues...





Estimation results:

ivregress gmm SRH (HWP0134 HWP3570=ELA2 ELA3 ELA4 ELAS2 ELAS3 ELAS4)
AGE AGES AGET NCL, vce(cluster HHIDPN)

Instrumental variables (GMM) regression                Number of obs =   46648
                                                       Wald chi2(6)  =  337.29
                                                       Prob > chi2   =  0.0000
                                                       R-squared     =       .
GMM weight matrix: Cluster (HHIDPN)                    Root MSE      =  1.4876

                             (Std. Err. adjusted for 12164 clusters in HHIDPN)
------------------------------------------------------------------------------
             |               Robust
         SRH |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
     HWP0134 |   2.987662   1.233466     2.42   0.015     .5701128    5.405211
     HWP3570 |   .8978863   .3963741     2.27   0.023     .1210073    1.674765
         AGE |  -1.407141   .6269281    -2.24   0.025    -2.635898   -.1783846
        AGES |   .0230615   .0101469     2.27   0.023     .0031739    .0429491
        AGET |  -.0001195   .0000531    -2.25   0.024    -.0002236   -.0000155
         NCL |   .0355435   .0064052     5.55   0.000     .0229895    .0480975
       _cons |   28.60861   12.23743     2.34   0.019     4.623689    52.59352
------------------------------------------------------------------------------
Instrumented:  HWP0134 HWP3570
Instruments:   AGE AGES AGET NCL ELA2 ELA3 ELA4 ELAS2 ELAS3 ELAS4



ivregress 2sls SRH (HWP0134 HWP3570=ELA2 ELA3 ELA4 ELAS2 ELAS3 ELAS4)
AGE AGES AGET NCL, vce(cluster HHIDPN)

Instrumental variables (2SLS) regression               Number of obs =   46648
                                                       Wald chi2(6)  =23412.02
                                                       Prob > chi2   =  0.0000
                                                       R-squared     =  0.0338
                                                       Root MSE      =  1.0329

                             (Std. Err. adjusted for 12164 clusters in HHIDPN)
------------------------------------------------------------------------------
             |               Robust
         SRH |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
     HWP0134 |          0   .0157014     0.00   1.000    -.0307742    .0307742
     HWP3570 |  -.0393177   .0930963    -0.42   0.673     -.221783    .1431476
         AGE |   .0668445   .0136595     4.89   0.000     .0400725    .0936166
        AGES |  -.0005923   .0006007    -0.99   0.324    -.0017697     .000585
        AGET |   2.46e-06   2.65e-06     0.93   0.354    -2.74e-06    7.65e-06
         NCL |   .0387995   .0042354     9.16   0.000     .0304982    .0471008
       _cons |  (omitted)
------------------------------------------------------------------------------
Instrumented:  HWP0134 HWP3570
Instruments:   AGE AGES AGET NCL ELA2 ELA3 ELA4 ELAS2 ELAS3 ELAS4
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