Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: RE: omitted constant with ivregress 2sls but not with ivregress gmm or ivreg
From
pablo martinelli <[email protected]>
To
[email protected]
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 <[email protected]>:
> 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 <[email protected]>:
>> 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: [email protected] [mailto:owner-
>>> [email protected]] On Behalf Of pablo martinelli
>>> Sent: 28 October 2013 15:22
>>> To: [email protected]
>>> 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
>>> *
>>> * For searches and help try:
>>> * http://www.stata.com/help.cgi?search
>>> * http://www.stata.com/support/faqs/resources/statalist-faq/
>>> * http://www.ats.ucla.edu/stat/stata/
>>
>>
>> -----
>> Sunday Times Scottish University of the Year 2011-2013
>> Top in the UK for student experience
>> Fourth university in the UK and top in Scotland (National Student Survey 2012)
>>
>> We invite research leaders and ambitious early career researchers to
>> join us in leading and driving research in key inter-disciplinary themes.
>> Please see www.hw.ac.uk/researchleaders for further information and how
>> to apply.
>>
>> Heriot-Watt University is a Scottish charity
>> registered under charity number SC000278.
>>
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/faqs/resources/statalist-faq/
>> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/