Re: st: Comparing coefficients from two ivregress models

[Austin Nichols <austinnichols@gmail.com>]

YUNHEE CHANG :
You also can stack models to compare IV coefs a la -suest-:
http://www.stata.com/statalist/archive/2009-11/msg01485.html
which should be essentially equivalent to the -gmm- approach
with robust SEs.

On Thu, Sep 8, 2011 at 4:48 AM, Tirthankar Chakravarty
<tirthankar.chakravarty@gmail.com> wrote:
> Use -gmm- and specify that you want the equations to be considered
> independently (the moment conditions are independent). Note that the
> point estimates are identical from two independent calls to -ivregress
> 2sls- and the corresponding -gmm-. Throughout, "turn" is the included
> endogenous variable.
>
> /**********************************************/
> sysuse auto, clear
> ivregress 2sls mpg gear_ratio (turn = weight length headroom)
> ivregress 2sls mpg gear_ratio length (turn = weight length headroom)
>
> gmm (eq1: mpg - {b1}*turn - {b2}*gear_ratio - {b0}) ///
>        (eq2: mpg - {c1}*turn - {c2}*gear_ratio -{c3}*length - {c0}), ///
>        instruments(gear_ratio weight length headroom) ///
>        onestep winitial(unadjusted, indep)
> test [b2]_cons = [c2]_cons
> /**********************************************/
>
> T
>
> On Thu, Sep 8, 2011 at 1:12 AM, Maarten Buis <maartenlbuis@gmail.com> wrote:
>> On Thu, Sep 8, 2011 at 9:56 AM, YUNHEE CHANG wrote:
>>> I am estimating two differently-specified IV regressions and trying to compare coefficients between the two models. I tried:
>>>
>>> ivregress 2sls y x1 x2 (x1=z)
>>> est store reg1
>>>
>>> ivregress 2sls y x1 x2 x3 (x1=z)
>>> est store reg2
>>>
>>> test [reg1]_b[x1]=[reg2]_b[x1]
>>>
>>> Then I get "equation [reg1] not found" error. What am I doing wrong?
<snip>

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