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st: RE: RE: different results ivregress ivreg2
From
Michael Betz <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: RE: different results ivregress ivreg2
Date
Tue, 23 Oct 2012 13:50:52 +0000
Thanks for pointing that out Mark. Sorry about that. What I meant was the coefficient estimates and standard errors are different though the same sample is being used in both estimations. Here is the output I get
. eststo tsls: ivregress 2sls totpovrt00 totpovrt90 $mining90 $shchg90 $base90 $full90 (mtmscquan90_00=maxsr1) if arc==1, vce(robust)
Instrumental variables (2SLS) regression Number of obs = 417
Wald chi2(40) =44819.44
Prob > chi2 = 0.0000
R-squared = 0.9231
Root MSE = 1.7678
----------------------------------------------------------------------------------
| Robust
totpovrt00 | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-----------------+----------------------------------------------------------------
mtmscquan90_00 | .0197637 .0330857 0.60 0.550 -.0450831 .0846105
totpovrt90 | .6417335 .0401982 15.96 0.000 .5629465 .7205205
sh_oilandgas90 | -.0114216 .0534854 -0.21 0.831 -.116251 .0934078
sh_othmin90 | -.0779878 .1107014 -0.70 0.481 -.2949586 .1389829
sh_oilandgas9000 | -.0006486 .0008198 -0.79 0.429 -.0022553 .0009582
sh_othmin9000 | .0000284 .0010231 0.03 0.978 -.0019769 .0020337
wttotpovrt90 | .0703972 .0394975 1.78 0.075 -.0070165 .1478109
nearmsakm | .001292 .0048828 0.26 0.791 -.0082782 .0108622
incmetgt250k | .0075248 .0042509 1.77 0.077 -.0008069 .0158565
incmetgt500k | .0018189 .0033364 0.55 0.586 -.0047203 .008358
incmetgt1500k | -.0009213 .0012863 -0.72 0.474 -.0034424 .0015997
nmetrop90 | -1.04e-08 3.05e-07 -0.03 0.973 -6.08e-07 5.87e-07
tempgr9095 | -.0475761 .0134337 -3.54 0.000 -.0739056 -.0212466
tempgr9500 | -.0310936 .0115908 -2.68 0.007 -.0538112 -.008376
sinctymsa | 1.235081 .5442064 2.27 0.023 .1684562 2.301706
bigmsacc | .1705238 1.470809 0.12 0.908 -2.712209 3.053257
bigmsasub | .0525589 .6951069 0.08 0.940 -1.309826 1.414943
smallmsacc | 1.246925 .5412092 2.30 0.021 .1861748 2.307676
smallmsasub | .1642659 .4547302 0.36 0.718 -.7269889 1.055521
msapop90 | 1.74e-07 2.77e-07 0.63 0.530 -3.69e-07 7.17e-07
pop90 | -5.89e-06 4.35e-06 -1.35 0.176 -.0000144 2.64e-06
nonmetropop90 | .0000171 6.19e-06 2.77 0.006 5.02e-06 .0000293
isc8590 | 0 .5901839 0.00 1.000 -1.156739 1.156739
pop90isc8590 | .000119 .0000908 1.31 0.190 -.0000589 .0002968
ptfor859090 | .5204261 .5988624 0.87 0.385 -.6533226 1.694175
ptfor808590 | .2481833 .793824 0.31 0.755 -1.307683 1.80405
pcthsgr90 | -.0865189 .0250954 -3.45 0.001 -.135705 -.0373328
pctsmcol90 | -.0884322 .0643579 -1.37 0.169 -.2145715 .0377071
pctasso90 | .0512056 .0876607 0.58 0.559 -.1206061 .2230173
pctcolgr90 | .017978 .0446468 0.40 0.687 -.0695282 .1054842
pctfhhwc90 | -.1243082 .1230761 -1.01 0.312 -.3655329 .1169164
pctmhhwc90 | .1605806 .3118982 0.51 0.607 -.4507286 .7718899
pctageu690 | .0294137 .1492109 0.20 0.844 -.2630344 .3218617
pctage71790 | .3009958 .1147461 2.62 0.009 .0760976 .5258941
pctage182490 | .1295481 .0494469 2.62 0.009 .032634 .2264622
pctage606490 | -.4264594 .2692848 -1.58 0.113 -.954248 .1013292
pctage65o90 | .1548139 .0875984 1.77 0.077 -.0168758 .3265037
popaash90 | -.0003428 .0169835 -0.02 0.984 -.0336298 .0329442
popnonaamin90 | -.1197184 .0359193 -3.33 0.001 -.1901189 -.0493179
pophisp90 | .2976955 .2485536 1.20 0.231 -.1894607 .7848517
_cons | 0 (omitted)
----------------------------------------------------------------------------------
Instrumented: mtmscquan90_00
Instruments: totpovrt90 sh_oilandgas90 sh_othmin90 sh_oilandgas9000
sh_othmin9000 wttotpovrt90 nearmsakm incmetgt250k incmetgt500k
incmetgt1500k nmetrop90 tempgr9095 tempgr9500 sinctymsa bigmsacc
bigmsasub smallmsacc smallmsasub msapop90 pop90 nonmetropop90
isc8590 pop90isc8590 ptfor859090 ptfor808590 pcthsgr90 pctsmcol90
pctasso90 pctcolgr90 pctfhhwc90 pctmhhwc90 pctageu690 pctage71790
pctage182490 pctage606490 pctage65o90 popaash90 popnonaamin90
pophisp90 maxsr1
.
. eststo tsls2: ivreg2 totpovrt00 totpovrt90 $mining90 $shchg90 $base90 $full90 (mtmscquan90_00=maxsr1) if arc==1, robust
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity
Number of obs = 417
F( 40, 376) = 109.23
Prob > F = 0.0000
Total (centered) SS = 16955.66734 Centered R2 = 0.9240
Total (uncentered) SS = 128080.6204 Uncentered R2 = 0.9899
Residual SS = 1289.013281 Root MSE = 1.758
----------------------------------------------------------------------------------
| Robust
totpovrt00 | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-----------------+----------------------------------------------------------------
mtmscquan90_00 | .0338978 .034418 0.98 0.325 -.0335602 .1013559
totpovrt90 | .633344 .0421794 15.02 0.000 .5506738 .7160141
sh_oilandgas90 | -.0041695 .0517569 -0.08 0.936 -.1056112 .0972722
sh_othmin90 | -.1063477 .1144918 -0.93 0.353 -.3307476 .1180521
sh_oilandgas9000 | -.0005622 .0008112 -0.69 0.488 -.002152 .0010277
sh_othmin9000 | -.0002268 .0010025 -0.23 0.821 -.0021917 .0017382
wttotpovrt90 | .0699014 .039297 1.78 0.075 -.0071193 .1469222
nearmsakm | .0021653 .0051207 0.42 0.672 -.007871 .0122017
incmetgt250k | .0074402 .0042373 1.76 0.079 -.0008647 .0157451
incmetgt500k | .000783 .0035558 0.22 0.826 -.0061863 .0077523
incmetgt1500k | -.001102 .0013519 -0.82 0.415 -.0037518 .0015477
nmetrop90 | 4.39e-08 2.97e-07 0.15 0.883 -5.39e-07 6.27e-07
tempgr9095 | -.0477614 .0130911 -3.65 0.000 -.0734194 -.0221034
tempgr9500 | -.0303755 .0115424 -2.63 0.008 -.0529981 -.0077529
sinctymsa | 1.363374 .5410069 2.52 0.012 .3030197 2.423728
bigmsacc | 1.746468 1.243426 1.40 0.160 -.6906013 4.183538
bigmsasub | .0791756 .6809 0.12 0.907 -1.255364 1.413715
smallmsacc | 1.396968 .5481443 2.55 0.011 .3226254 2.471312
smallmsasub | .2747845 .4587298 0.60 0.549 -.6243094 1.173878
msapop90 | 1.82e-07 2.74e-07 0.67 0.506 -3.54e-07 7.18e-07
pop90 | -8.43e-08 4.03e-06 -0.02 0.983 -7.99e-06 7.82e-06
nonmetropop90 | .0000193 6.48e-06 2.98 0.003 6.60e-06 .000032
isc8590 | 8.173178 5.650488 1.45 0.148 -2.901575 19.24793
pop90isc8590 | -6.30e-06 .0000837 -0.08 0.940 -.0001704 .0001578
ptfor859090 | .5920391 .6181359 0.96 0.338 -.619485 1.803563
ptfor808590 | .3750986 .783866 0.48 0.632 -1.16125 1.911448
pcthsgr90 | -.0850652 .025138 -3.38 0.001 -.1343347 -.0357956
pctsmcol90 | -.0864964 .0647881 -1.34 0.182 -.2134788 .040486
pctasso90 | .0621457 .0905832 0.69 0.493 -.1153941 .2396855
pctcolgr90 | .0126505 .0435772 0.29 0.772 -.0727592 .0980603
pctfhhwc90 | -.0915021 .1190157 -0.77 0.442 -.3247687 .1417645
pctmhhwc90 | .1458696 .3018003 0.48 0.629 -.4456481 .7373873
pctageu690 | .0175032 .1760583 0.10 0.921 -.3275648 .3625712
pctage71790 | .2436343 .1628621 1.50 0.135 -.0755695 .5628381
pctage182490 | .1149265 .0793779 1.45 0.148 -.0406513 .2705044
pctage606490 | -.5235005 .3160347 -1.66 0.098 -1.142917 .0959162
pctage65o90 | .1614924 .0944564 1.71 0.087 -.0236388 .3466236
popaash90 | .0007198 .018228 0.04 0.968 -.0350064 .0364461
popnonaamin90 | -.1301205 .037705 -3.45 0.001 -.204021 -.0562201
pophisp90 | .2225309 .2507226 0.89 0.375 -.2688763 .7139381
_cons | .9326736 4.561277 0.20 0.838 -8.007266 9.872613
----------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 2.411
Chi-sq(1) P-val = 0.1205
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 21.531
(Kleibergen-Paap rk Wald F statistic): 20.958
Stock-Yogo weak ID test critical values: 10% maximal IV size 16.38
15% maximal IV size 8.96
20% maximal IV size 6.66
25% maximal IV size 5.53
Source: Stock-Yogo (2005). Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments): 0.000
(equation exactly identified)
------------------------------------------------------------------------------
Instrumented: mtmscquan90_00
Included instruments: totpovrt90 sh_oilandgas90 sh_othmin90 sh_oilandgas9000
sh_othmin9000 wttotpovrt90 nearmsakm incmetgt250k
incmetgt500k incmetgt1500k nmetrop90 tempgr9095 tempgr9500
sinctymsa bigmsacc bigmsasub smallmsacc smallmsasub
msapop90 pop90 nonmetropop90 isc8590 pop90isc8590
ptfor859090 ptfor808590 pcthsgr90 pctsmcol90 pctasso90
pctcolgr90 pctfhhwc90 pctmhhwc90 pctageu690 pctage71790
pctage182490 pctage606490 pctage65o90 popaash90
popnonaamin90 pophisp90
Excluded instruments: maxsr1
------------------------------------------------------------------------------
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Schaffer, Mark E
Sent: Monday, October 22, 2012 5:08 PM
To: [email protected]
Subject: st: RE: different results ivregress ivreg2
Michael,
You haven't provided enough details for us to contribute a useful answer. "Different result" can be practically anything!
--Mark
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Michael Betz
> Sent: 22 October 2012 18:47
> To: [email protected]
> Subject: st: different results ivregress ivreg2
>
> Hi all,
>
> I'm using Stata 12.1 and am getting different result for ivregress and
ivreg2
> 2sls. To my understanding they should be equivalent, which makes me
> believe there is a detail in the estimation of one of them that I am
missing.
> My code is below:
>
> ivregress 2sls totpovrt00 totpovrt90 $mining90 $shchg90 $base90
$full90
> (mtmscquan90_00=maxsr1) if arc==1, vce(robust) first
>
> ivreg2 totpovrt00 totpovrt90 $mining90 $shchg90 $base90 $full90
> (mtmscquan90_00=maxsr1) if arc==1, robust first
>
> I started with an extremely parsimonious model which gave me the same
> results using both commands. As I added variables, the results began
to
> differ. If I add any of the following variables it leads to different
results
> between the two commands.
>
>
> Variable Obs Mean Std. Dev. Min
Max
> isc8590 417 .0693959 .0327513 .0171622
> .279515
> pop90isc8590 417 2999.111 4974.265 166.3676
> 78940.03
> pctage606490 420 4.802992 .7325087 2.316738
> 7.595499
> pctage65o90 420 14.35169 2.651081 4.709416
> 24.75028
>
> Thanks,
> Mike
>
>
>
>
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