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RE: st: IV vs 2SLS


From   Cameron McIntosh <cnm100@hotmail.com>
To   STATA LIST <statalist@hsphsun2.harvard.edu>
Subject   RE: st: IV vs 2SLS
Date   Thu, 2 Aug 2012 20:32:19 -0400

I can't tell exactly what you're comparing here... is one method full information and the other limited?

Bollen, K.A. (2012). Instrumental Variables in Sociology and the Social Sciences. Annual Review of Sociology, 38, 37-72.
http://www.annualreviews.org/doi/abs/10.1146/annurev-soc-081309-150141?journalCode=soc

Cam

> Date: Thu, 2 Aug 2012 17:16:27 -0700
> Subject: st: IV vs 2SLS
> From: shikha.sinha414@gmail.com
> To: statalist@hsphsun2.harvard.edu
> 
> Dear all,
> 
> What is the difference between IV and 2sls and which is the preferred
> method to correct for endogeneity (advantage and disadvantage)?
> 
> (a) ivreg2 y x1 x2 (x3=z)
> 
> (b) reg x3 z x1 x2
> predict x3_hat
> reg y x3_hat x1 x2
> 
> By employing (a) and (b) I get similar coeff, but standard errors are
> different.
> 
> Thanks,
> Shikha
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