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From | Austin Nichols <austinnichols@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Comparing coefficients from two ivregress models |
Date | Thu, 8 Sep 2011 07:58:00 -0400 |
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> * * 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/