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Re: st: RE: 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   Re: st: RE: omitted constant with ivregress 2sls but not with ivregress gmm or ivreg
Date   Tue, 29 Oct 2013 17:54:06 +0100

This fact is even more puzzling when one
considers the following results with gmm:


. ivregress gmm lnrtw240w tpr eshare avrentp sharecrop tenant
nonagremp wheatshare wheatyield piemontevalledaosta liguria lombardia
trentinoaltoadige veneto emilia toscana lazio abruzzi campania puglie
>  lucania calabria sicilia sardegna avmrain cvavmrain rainwin rainspr rainsum rainaut rainwin2 rainspr2 rainsum2 rainaut2 cvrainwin cvrainspr cvrainsum cvrainaut rainintwin rainintspr rainintsum raini
> ntaut cvrainintwin cvrainintspr cvrainintsum cvrainintaut height1 dislivello newslope latitude (LabnewLand3=lnpop31land), first robust

First-stage regressions
-----------------------

                                                  Number of obs   =        727
                                                  F(  50,    676) =     368.73
                                                  Prob > F        =     0.0000
                                                  R-squared       =     0.9367
                                                  Adj R-squared   =     0.9320
                                                  Root MSE        =     0.1811

------------------------------
------------------------------------------------
             |               Robust
 LabnewLand3 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
         tpr |  -.0752534    .030686    -2.45   0.014    -.1355048   -.0150021
      eshare |  -.2042971   .0787484    -2.59   0.010     -.358918   -.0496762
     avrentp |   2.59e-06   7.47e-06     0.35   0.729    -.0000121    .0000173
   sharecrop |   .1223223   .0690329     1.77   0.077    -.0132225    .2578671
      tenant |   .1070509   .1124441     0.95   0.341    -.1137308    .3278327
   nonagremp |  -.0185542   .0009113   -20.36   0.000    -.0203435   -.0167649
  wheatshare |   .2611341   .0944493     2.76   0.006     .0756848    .4465834
  wheatyield |   .0077474   .0026325     2.94   0.003     .0025786    .0129162
piemonteva~a |   .1687091   .0581959     2.90   0.004     .0544426    .2829756
     liguria |   .1656128   .0810158     2.04   0.041     .0065398    .3246857
   lombardia |    .051234   .0601551     0.85   0.395    -.0668793    .1693473
trentinoal~e |   .1392318   .0809547     1.72   0.086     -.019721    .2981846
      veneto |  -.0195738   .0605925    -0.32   0.747    -.1385459    .0993983
      emilia |  -.0295481   .0423374    -0.70   0.485    -.1126767    .0535805
     toscana |   .0268248   .0436844     0.61   0.539    -.0589485    .1125982
       lazio |   .0405166   .0498447     0.81   0.417    -.0573524    .1383856
     abruzzi |  -.1850101   .0471699    -3.92   0.000    -.2776273   -.0923929
    campania |   -.007703   .0852096    -0.09   0.928    -.1750103    .1596043
      puglie |  -.2555594   .0761643    -3.36   0.001    -.4051065   -.1060124
     lucania |  -.1024758   .0858727    -1.19   0.233    -.2710851    .0661336
    calabria |  -.2699014   .0986603    -2.74   0.006    -.4636189    -.076184
     sicilia |  -.4293593   .1652127    -2.60   0.010     -.753751   -.1049676
    sardegna |  -.4646977   .0892632    -5.21   0.000    -.6399643   -.2894312
     avmrain |  -.0081846   .0161084    -0.51   0.612    -.0398132     .023444
   cvavmrain |   .0811425    .192954     0.42   0.674    -.2977187    .4600036
     rainwin |   .0013707    .001745     0.79   0.432    -.0020556     .004797
     rainspr |  -.0015337   .0015158    -1.01   0.312      -.00451    .0014426
     rainsum |    .001587   .0014179     1.12   0.263    -.0011969     .004371
     rainaut |   .0022904   .0014189     1.61   0.107    -.0004955    .0050763
    rainwin2 |   1.97e-07   8.11e-07     0.24   0.808    -1.40e-06    1.79e-06
    rainspr2 |   1.39e-06   5.14e-07     2.71   0.007     3.83e-07    2.40e-06
    rainsum2 |  -2.37e-07   6.17e-07    -0.38   0.701    -1.45e-06    9.75e-07
    rainaut2 |  -2.03e-06   8.34e-07    -2.43   0.015    -3.67e-06   -3.93e-07
   cvrainwin |  -.1337135   .0910987    -1.47   0.143    -.3125838    .0451569
   cvrainspr |  -.0919449   .1411574    -0.65   0.515    -.3691047    .1852148
   cvrainsum |   .0620552   .0583617     1.06   0.288    -.0525368    .1766472
   cvrainaut |  -.0228216   .1275591    -0.18   0.858    -.2732812     .227638
  rainintwin |  -.0038742     .01052    -0.37   0.713      -.02453    .0167816
  rainintspr |    .025346   .0082647     3.07   0.002     .0091184    .0415735
  rainintsum |  -.0158319   .0053415    -2.96   0.003    -.0263199   -.0053438
  rainintaut |  -.0026335    .008307    -0.32   0.751    -.0189442    .0136772
cvrainintwin |   .1142515   .1082358     1.06   0.292    -.0982673    .3267703
cvrainintspr |  -.1338668    .071614    -1.87   0.062    -.2744795    .0067459
cvrainintsum |  -.0174779   .0458837    -0.38   0.703    -.1075696    .0726138
cvrainintaut |   -.047752   .0917345    -0.52   0.603    -.2278708    .1323668
     height1 |  -.0000976   .0000593    -1.65   0.100    -.0002141    .0000189
  dislivello |  -.0001469   .0001313    -1.12   0.263    -.0004047    .0001108
    newslope |   36.73272   10.35384     3.55   0.000     16.40318    57.06227
    latitude |   .0000167   .0002471     0.07   0.946    -.0004684    .0005018
 lnpop31land |   .8216411   .0354665    23.17   0.000     .7520034    .8912789
       _cons |  -.5036778     1.1633    -0.43   0.665    -2.787793    1.780437
------------------------------------------------------------------------------


Instrumental variables (GMM) regression                Number of obs =     727
                                                       Wald chi2(50) = 7531.25
                                                       Prob > chi2   =  0.0000
                                                       R-squared     =  0.8935
GMM weight matrix: Robust                              Root MSE      =  .31984

------------------------------------------------------------------------------
             |               Robust
   lnrtw240w |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
 LabnewLand3 |   .7296731   .0479797    15.21   0.000     .6356347    .8237115
         tpr |    .150806   .0322902     4.67   0.000     .0875184    .2140937
      eshare |  -.5659457   .1465112    -3.86   0.000    -.8531023   -.2787891
     avrentp |   .0001132   .0000133     8.51   0.000     .0000871    .0001393
   sharecrop |  -.3001512   .1163504    -2.58   0.010    -.5281938   -.0721086
      tenant |  -.0879874   .1825934    -0.48   0.630     -.445864    .2698891
   nonagremp |   .0044146   .0009902     4.46   0.000     .0024738    .0063554
  wheatshare |   .2725696   .1986782     1.37   0.170    -.1168325    .6619717
  wheatyield |    .013572   .0048236     2.81   0.005     .0041179     .023026
piemonteva~a |   .3870626   .1211705     3.19   0.001     .1495729    .6245524
     liguria |  -.7231312   .1708928    -4.23   0.000    -1.058075   -.3881875
   lombardia |   .0804358    .125656     0.64   0.522    -.1658454     .326717
trentinoal~e |   .4460556   .1907816     2.34   0.019     .0721305    .8199806
      veneto |    .200405   .1249244     1.60   0.109    -.0444424    .4452523
      emilia |  -.1549017    .080782    -1.92   0.055    -.3132315    .0034282
     toscana |  -.2256237   .0731365    -3.08   0.002    -.3689686   -.0822789
       lazio |   .2176652   .0838542     2.60   0.009      .053314    .3820164
     abruzzi |   .4261649   .0839904     5.07   0.000     .2615467     .590783
    campania |   .5052329   .1338471     3.77   0.000     .2428974    .7675684
      puglie |   .7343379   .1313001     5.59   0.000     .4769945    .9916814
     lucania |   .1794245   .1634261     1.10   0.272    -.1408848    .4997337
    calabria |   .2868967   .1928984     1.49   0.137    -.0911772    .6649707
     sicilia |   .4136089   .3124951     1.32   0.186    -.1988704    1.026088
    sardegna |  -.1242169   .1713119    -0.73   0.468     -.459982    .2115482
     avmrain |   .0922622   .0298397     3.09   0.002     .0337775    .1507469
   cvavmrain |   .1573777   .2786143     0.56   0.572    -.3886963    .7034517
     rainwin |  -.0085693   .0028028    -3.06   0.002    -.0140627    -.003076
     rainspr |    -.00659   .0028498    -2.31   0.021    -.0121755   -.0010046
     rainsum |  -.0082152   .0027455    -2.99   0.003    -.0135962   -.0028343
     rainaut |  -.0064073   .0027679    -2.31   0.021    -.0118322   -.0009823
    rainwin2 |   7.00e-07   1.41e-06     0.50   0.619    -2.06e-06    3.46e-06
    rainspr2 |  -1.61e-06   1.40e-06    -1.15   0.251    -4.35e-06    1.14e-06
    rainsum2 |  -6.10e-07   1.36e-06    -0.45   0.653    -3.27e-06    2.05e-06
    rainaut2 |  -1.55e-06   1.39e-06    -1.11   0.266    -4.28e-06    1.18e-06
   cvrainwin |   .4861783   .1740445     2.79   0.005     .1450574    .8272992
   cvrainspr |  -.2146707   .2086629    -1.03   0.304    -.6236425    .1943011
   cvrainsum |  -.0934008   .1286739    -0.73   0.468     -.345597    .1587954
   cvrainaut |  -.1363144   .2075616    -0.66   0.511    -.5431277    .2704988
  rainintwin |  -.0395274   .0188358    -2.10   0.036    -.0764449     -.00261
  rainintspr |   .0195541   .0182292     1.07   0.283    -.0161746    .0552827
  rainintsum |  -.0010367   .0122977    -0.08   0.933    -.0251396    .0230663
  rainintaut |   .0029407   .0158345     0.19   0.853    -.0280944    .0339758
cvrainintwin |  -.2216308   .1662473    -1.33   0.182    -.5474696     .104208
cvrainintspr |   .1727809    .142595     1.21   0.226    -.1067001    .4522619
cvrainintsum |   .1093444   .0924789     1.18   0.237     -.071911    .2905998
cvrainintaut |  -.0724951   .1695741    -0.43   0.669    -.4048543    .2598641
     height1 |  -.0005161   .0001042    -4.95   0.000    -.0007204   -.0003118
  dislivello |  -.0000686   .0002411    -0.28   0.776    -.0005412     .000404
    newslope |  -4.832518   17.70387    -0.27   0.785    -39.53147    29.86644
    latitude |   .0000422   .0004341     0.10   0.922    -.0008086    .0008931
       _cons |  -2.906064   2.013513    -1.44   0.149    -6.852477    1.040349
------------------------------------------------------------------------------
Instrumented:  LabnewLand3
Instruments:   tpr eshare avrentp sharecrop tenant nonagremp wheatshare
               wheatyield piemontevalledaosta liguria lombardia
               trentinoaltoadige veneto emilia toscana lazio abruzzi
               campania puglie lucania calabria sicilia sardegna avmrain
               cvavmrain rainwin rainspr rainsum rainaut rainwin2 rainspr2
               rainsum2 rainaut2 cvrainwin cvrainspr cvrainsum cvrainaut
               rainintwin rainintspr rainintsum rainintaut cvrainintwin
               cvrainintspr cvrainintsum cvrainintaut height1 dislivello
               newslope latitude lnpop31land

Additionally, at this point, I have another question. Does anyone know
why the F-statistic is substituted for a Wald statistic in the second
stage? If I adjust for small samples, I get again the F-statistic.
However, I don't see why one should adjust for small amples with
n=727...

2013/10/29 pablo martinelli <pab.martinelli@gmail.com>:
> Hi everyone again.
>
> No, ivreg2 does not drop the constant.
>
> Yes, sure, Mark. Here are my command lines the results i get. Since I
> have many variables, and tehre is a limit to the message's size we can
> send, I will split them.
>
> First, ivregress.
>
> . ivregress 2sls lnrtw240w tpr eshare avrentp sharecrop tenant
> nonagremp wheatshare wheatyield piemontevalledaosta liguria lombardia
> trentinoaltoadige veneto emilia toscana lazio abruzzi campania pugli
>> e lucania calabria sicilia sardegna avmrain cvavmrain rainwin rainspr rainsum rainaut rainwin2 rainspr2 rainsum2 rainaut2 cvrainwin cvrainspr cvrainsum cvrainaut rainintwin rainintspr rainintsum rain
>> intaut cvrainintwin cvrainintspr cvrainintsum cvrainintaut height1 dislivello newslope latitude (LabnewLand3=lnpop31land), first robust
>
> First-stage regressions
> -----------------------
>
>                                                   Number of obs   =        727
>                                                   F(  50,    676) =     368.73
>                                                   Prob > F        =     0.0000
>                                                   R-squared       =     0.9367
>                                                   Adj R-squared   =     0.9320
>                                                   Root MSE        =     0.1811
>
> ------------------------------
> ------------------------------------------------
>              |               Robust
>  LabnewLand3 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
>          tpr |  -.0752534    .030686    -2.45   0.014    -.1355048   -.0150021
>       eshare |  -.2042971   .0787484    -2.59   0.010     -.358918   -.0496762
>      avrentp |   2.59e-06   7.47e-06     0.35   0.729    -.0000121    .0000173
>    sharecrop |   .1223223   .0690329     1.77   0.077    -.0132225    .2578671
>       tenant |   .1070509   .1124441     0.95   0.341    -.1137308    .3278327
>    nonagremp |  -.0185542   .0009113   -20.36   0.000    -.0203435   -.0167649
>   wheatshare |   .2611341   .0944493     2.76   0.006     .0756848    .4465834
>   wheatyield |   .0077474   .0026325     2.94   0.003     .0025786    .0129162
> piemonteva~a |   .1687091   .0581959     2.90   0.004     .0544426    .2829756
>      liguria |   .1656128   .0810158     2.04   0.041     .0065398    .3246857
>    lombardia |    .051234   .0601551     0.85   0.395    -.0668793    .1693473
> trentinoal~e |   .1392318   .0809547     1.72   0.086     -.019721    .2981846
>       veneto |  -.0195738   .0605925    -0.32   0.747    -.1385459    .0993983
>       emilia |  -.0295481   .0423374    -0.70   0.485    -.1126767    .0535805
>      toscana |   .0268248   .0436844     0.61   0.539    -.0589485    .1125982
>        lazio |   .0405166   .0498447     0.81   0.417    -.0573524    .1383856
>      abruzzi |  -.1850101   .0471699    -3.92   0.000    -.2776273   -.0923929
>     campania |   -.007703   .0852096    -0.09   0.928    -.1750103    .1596043
>       puglie |  -.2555594   .0761643    -3.36   0.001    -.4051065   -.1060124
>      lucania |  -.1024758   .0858727    -1.19   0.233    -.2710851    .0661336
>     calabria |  -.2699014   .0986603    -2.74   0.006    -.4636189    -.076184
>      sicilia |  -.4293593   .1652127    -2.60   0.010     -.753751   -.1049676
>     sardegna |  -.4646977   .0892632    -5.21   0.000    -.6399643   -.2894312
>      avmrain |  -.0081846   .0161084    -0.51   0.612    -.0398132     .023444
>    cvavmrain |   .0811425    .192954     0.42   0.674    -.2977187    .4600036
>      rainwin |   .0013707    .001745     0.79   0.432    -.0020556     .004797
>      rainspr |  -.0015337   .0015158    -1.01   0.312      -.00451    .0014426
>      rainsum |    .001587   .0014179     1.12   0.263    -.0011969     .004371
>      rainaut |   .0022904   .0014189     1.61   0.107    -.0004955    .0050763
>     rainwin2 |   1.97e-07   8.11e-07     0.24   0.808    -1.40e-06    1.79e-06
>     rainspr2 |   1.39e-06   5.14e-07     2.71   0.007     3.83e-07    2.40e-06
>     rainsum2 |  -2.37e-07   6.17e-07    -0.38   0.701    -1.45e-06    9.75e-07
>     rainaut2 |  -2.03e-06   8.34e-07    -2.43   0.015    -3.67e-06   -3.93e-07
>    cvrainwin |  -.1337135   .0910987    -1.47   0.143    -.3125838    .0451569
>    cvrainspr |  -.0919449   .1411574    -0.65   0.515    -.3691047    .1852148
>    cvrainsum |   .0620552   .0583617     1.06   0.288    -.0525368    .1766472
>    cvrainaut |  -.0228216   .1275591    -0.18   0.858    -.2732812     .227638
>   rainintwin |  -.0038742     .01052    -0.37   0.713      -.02453    .0167816
>   rainintspr |    .025346   .0082647     3.07   0.002     .0091184    .0415735
>   rainintsum |  -.0158319   .0053415    -2.96   0.003    -.0263199   -.0053438
>   rainintaut |  -.0026335    .008307    -0.32   0.751    -.0189442    .0136772
> cvrainintwin |   .1142515   .1082358     1.06   0.292    -.0982673    .3267703
> cvrainintspr |  -.1338668    .071614    -1.87   0.062    -.2744795    .0067459
> cvrainintsum |  -.0174779   .0458837    -0.38   0.703    -.1075696    .0726138
> cvrainintaut |   -.047752   .0917345    -0.52   0.603    -.2278708    .1323668
>      height1 |  -.0000976   .0000593    -1.65   0.100    -.0002141    .0000189
>   dislivello |  -.0001469   .0001313    -1.12   0.263    -.0004047    .0001108
>     newslope |   36.73272   10.35384     3.55   0.000     16.40318    57.06227
>     latitude |   .0000167   .0002471     0.07   0.946    -.0004684    .0005018
>  lnpop31land |   .8216411   .0354665    23.17   0.000     .7520034    .8912789
>        _cons |  -.5036778     1.1633    -0.43   0.665    -2.787793    1.780437
> ------------------------------------------------------------------------------
>
>
> Instrumental variables (2SLS) regression               Number of obs =     727
>                                                        Wald chi2(50) =20562.26
>                                                        Prob > chi2   =  0.0000
>                                                        R-squared     =  0.8932
>                                                        Root MSE      =  .32042
>
> ------------------------------------------------------------------------------
>              |               Robust
>    lnrtw240w |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
>  LabnewLand3 |   .7267861   .0450934    16.12   0.000     .6384046    .8151675
>          tpr |   .1458045    .032423     4.50   0.000     .0822565    .2093525
>       eshare |  -.5817712   .1438029    -4.05   0.000    -.8636196   -.2999228
>      avrentp |   .0001137   .0000132     8.63   0.000     .0000879    .0001395
>    sharecrop |  -.2948938    .115277    -2.56   0.011    -.5208325   -.0689551
>       tenant |  -.0748224   .1830473    -0.41   0.683    -.4335884    .2839437
>    nonagremp |   .0045094   .0009825     4.59   0.000     .0025837    .0064351
>   wheatshare |    .268118   .1990714     1.35   0.178    -.1220547    .6582907
>   wheatyield |   .0150569   .0046811     3.22   0.001      .005882    .0242317
> piemonteva~a |    .457105   .1139754     4.01   0.000     .2337173    .6804928
>      liguria |  -.6659745   .1643922    -4.05   0.000    -.9881773   -.3437717
>    lombardia |   .1699226   .1148089     1.48   0.139    -.0550987    .3949439
> trentinoal~e |   .5750365   .1708428     3.37   0.001     .2401908    .9098822
>       veneto |   .3072996   .1069846     2.87   0.004     .0976137    .5169855
>       emilia |  -.0965144   .0759654    -1.27   0.204    -.2454038     .052375
>      toscana |  -.2014353    .068682    -2.93   0.003    -.3360495   -.0668211
>        lazio |   .1704884   .0814061     2.09   0.036     .0109354    .3300414
>      abruzzi |   .3654339   .0807196     4.53   0.000     .2072264    .5236413
>     campania |     .38231   .1131769     3.38   0.001     .1604874    .6041327
>       puglie |   .6174175   .1138966     5.42   0.000     .3941843    .8406508
>      lucania |   .0233558   .1259724     0.19   0.853    -.2235455    .2702572
>     calabria |   .0643192   .1278942     0.50   0.615    -.1863488    .3149872
>      sicilia |   .0892816   .1851743     0.48   0.630    -.2736534    .4522166
>     sardegna |  -.2924706   .1315056    -2.22   0.026    -.5502168   -.0347244
>      avmrain |    .091309   .0299047     3.05   0.002     .0326968    .1499212
>    cvavmrain |   .0704218   .2632369     0.27   0.789    -.4455132    .5863567
>      rainwin |  -.0085437   .0027881    -3.06   0.002    -.0140082   -.0030791
>      rainspr |  -.0065773   .0028433    -2.31   0.021      -.01215   -.0010046
>      rainsum |  -.0078591   .0027321    -2.88   0.004     -.013214   -.0025043
>      rainaut |  -.0064453   .0027802    -2.32   0.020    -.0118943   -.0009963
>     rainwin2 |   8.42e-07   1.35e-06     0.62   0.534    -1.81e-06    3.50e-06
>     rainspr2 |  -1.64e-06   1.41e-06    -1.17   0.244    -4.40e-06    1.12e-06
>     rainsum2 |  -7.44e-07   1.30e-06    -0.57   0.568    -3.30e-06    1.81e-06
>     rainaut2 |  -1.36e-06   1.39e-06    -0.98   0.328    -4.08e-06    1.36e-06
>    cvrainwin |   .5463342   .1663811     3.28   0.001     .2202332    .8724353
>    cvrainspr |  -.1413404   .1943371    -0.73   0.467    -.5222341    .2395533
>    cvrainsum |  -.0781232   .1270969    -0.61   0.539    -.3272285    .1709822
>    cvrainaut |  -.1209869    .209468    -0.58   0.564    -.5315367    .2895629
>   rainintwin |  -.0434683   .0193887    -2.24   0.025    -.0814695   -.0054672
>   rainintspr |   .0229036   .0185125     1.24   0.216    -.0133803    .0591875
>   rainintsum |     -.0028   .0119597    -0.23   0.815    -.0262406    .0206406
>   rainintaut |   .0026536   .0160065     0.17   0.868    -.0287186    .0340258
> cvrainintwin |  -.1953799   .1654534    -1.18   0.238    -.5196627    .1289029
> cvrainintspr |   .1423667   .1475175     0.97   0.335    -.1467623    .4314956
> cvrainintsum |   .0937196   .0911865     1.03   0.304    -.0850026    .2724418
> cvrainintaut |   -.072203   .1696257    -0.43   0.670    -.4046632    .2602572
>      height1 |   -.000493   .0001032    -4.78   0.000    -.0006953   -.0002908
>   dislivello |  -.0001017     .00021    -0.48   0.628    -.0005132    .0003099
>     newslope |          0   .0039293     0.00   1.000    -.0077012    .0077012
>     latitude |  -.0005574    .000063    -8.85   0.000    -.0006808   -.0004339
>        _cons |  (omitted)
> ------------------------------------------------------------------------------
> Instrumented:  LabnewLand3
> Instruments:   tpr eshare avrentp sharecrop tenant nonagremp wheatshare
>                wheatyield piemontevalledaosta liguria lombardia
>                trentinoaltoadige veneto emilia toscana lazio abruzzi
>                campania puglie lucania calabria sicilia sardegna avmrain
>                cvavmrain rainwin rainspr rainsum rainaut rainwin2 rainspr2
>                rainsum2 rainaut2 cvrainwin cvrainspr cvrainsum cvrainaut
>                rainintwin rainintspr rainintsum rainintaut cvrainintwin
>                cvrainintspr cvrainintsum cvrainintaut height1 dislivello
>                newslope latitude lnpop31land
>
> I know, scaling might be a problem. In particular, if I multiply all
> the values of the variable newslope for 100 or 1000, I get a
> coefficient that is not 0 and a p-value that is not 1 (though is not
> statistically significant). Everything else, remains the same. So the
> problem is not  lack of variation in newslope, as one may be tempted
> to think having a look at the results just above. However, the
> omission of the variable happens only when the 3 variables height1,
> dislivello and newslope (which are correlated) are entered as
> regressors, although I am not able to conceptually find the reason for
> the constant being dropped.
>
> 2013/10/28 Schaffer, Mark E <M.E.Schaffer@hw.ac.uk>:
>> Pablo,
>>
>> You need to give us more details, such as the command lines used.  Also, you say
>>
>>> A potential explanation is that the original ivreg code estimated IV by default
>>> with gmm
>>
>> but that's impossible, because Stata's official -ivreg- never implemented GMM.
>>
>> Does -ivreg2- with and without -gmm2s- keep or drop the constant?
>>
>> --Mark
>>
>>> -----Original Message-----
>>> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
>>> statalist@hsphsun2.harvard.edu] On Behalf Of pablo martinelli
>>> Sent: 28 October 2013 15:22
>>> To: statalist@hsphsun2.harvard.edu
>>> Subject: st: omitted constant with ivregress 2sls but not with ivregress gmm or
>>> ivreg
>>>
>>> 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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>>
>>
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