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st: omitted constant with ivregress 2sls but not with ivregress gmm or ivreg


From   pablo martinelli <pab.martinelli@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: omitted constant with ivregress 2sls but not with ivregress gmm or ivreg
Date   Mon, 28 Oct 2013 16:22:18 +0100

Hi all,
I am having some difficulties for replicating some results I get in 2011
with an earlier version of Stata (I think it was Stata 7 but I am not
sure). Now I am using Stata 11.
The problem is the following.
When I use ivregress 2sls, Stata omits the constant, even though it is not
perfectly collinear with any exogenous or endogenous variables. The
coefficients are slightly modified with respect to the original results.
(the problem doesn't happen when I use ols).
If I use ivregress gmm with robust standard errors I get the original
resulst I get in 2011, except for the constant whose estimated value is
somewhat different from the orginal. F-statistics, R2, etc are also the
same. I obtain the same results with either ivreg and ivreg2.
A potential explanation is that the original ivreg code estimated IV by
default with gmm, though I have not been able to find confirmation of this
point.
Some of the regressors are certainly correlated, but not perfectly.
Anyway, I cannot figure out why should the constant be ommited with
ivregress 2sls and not with ivregress gmm. What is the econometric problem
here? And why should in that case any of the two methods (2sls or gmm)
preferable to the other?
Any explanation, suggestion or hint would be highly appreciated.
Best,
Pablo Martinelli
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