Dear Statalisters,
I have a 2-year panel household data set. I estimated the theoretically same
model using two different Stata commands. First, using xtivreg, fe and
second, manually differencing within household and using ivreg2. I got the
same coefficient estimates but different standard errors and different
overid test statistics. (Result tables copied below; 1st stages omitted)
1) Are the standard errors of the coefficient estimates different because
xtivreg, fe used households with both single observation and two repeated
observations while differencing and ivreg2 used only household with two
repeated observations?
2) Is the Sargan statistic given by overidxt different from the Sargan
statistic given in ivreg2 for the same reason as above?
Thank you very much for your help.
Eiji
xtivreg dprome2 mefor afor mesrh asrh maxedu /*
> */ y93 lny93 heny93 sdy93 hby93 hny93 gxy93 gzy93 city93 suby93
towy93 /*
> */ (lnpcdef=drainq1-drainq4 drainqland1-drainqland4 /*
> */ dsunq1-dsunq4 dsunqland1-dsunqland4 /*
> */ drainqvill1-drainqvill4 dsunqvill1-dsunqvill4),fe
Fixed-effects (within) IV regression Number of obs =
850
Group variable: ohhid Number of groups =
581
R-sq: within = 0.0438 Obs per group: min =
1
between = 0.0006 avg =
1.5
overall = 0.0024 max =
2
Wald chi2(17) =
943.39
corr(u_i, Xb) = -0.3811 Prob > chi2 =
0.0000
----------------------------------------------------------------------
--------
dprome2 | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+--------------------------------------------------------
--------
lnpcdef | -.0829731 .0578167 -1.44 0.151 -.1962917
.0303454
mefor | .014233 .022224 0.64 0.522 -.0293253
.0577912
afor | -.0363992 .0359746 -1.01 0.312 -.1069081
.0341096
mesrh | -.0880036 .03345 -2.63
0.009 -.1535644 -.0224427
asrh | .1225672 .047207 2.60 0.009 .0300431
.2150912
maxedu | .0141301 .0174315 0.81 0.418 -.020035
.0482953
y93 | -.0033069 .062804 -0.05 0.958 -.1264005
.1197867
lny93 | .137499 .092804 1.48 0.138 -.0443935
.3193915
heny93 | -.0247196 .10157 -0.24 0.808 -.2237932
.174354
sdy93 | -.1033524 .093967 -1.10 0.271 -.2875244
.0808195
hby93 | -.1834472 .092521 -1.98
0.047 -.3647851 -.0021094
hny93 | -.0731059 .1022382 -0.72 0.475 -.2734891
.1272773
gxy93 | -.0030924 .0728227 -0.04 0.966 -.1458223
.1396375
gzy93 | -.0967301 .0762305 -1.27 0.204 -.2461392
.052679
city93 | .026772 .0498719 0.54 0.591 -.0709751
.1245191
suby93 | -.0511917 .0635875 -0.81 0.421 -.175821
.0734375
towy93 | .0035864 .0529958 0.07 0.946 -.1002835
.1074562
_cons | .3330647 .4183751 0.80 0.426 -.4869353
1.153065
-------------+--------------------------------------------------------
--------
sigma_u | .25929132
sigma_e | .22144028
rho | .57825123 (fraction of variance due to u_i)
----------------------------------------------------------------------
--------
F test that all u_i=0: F(580,252) = 1.22 Prob > F
= 0.0325
----------------------------------------------------------------------
--------
Instrumented: lnpcdef
Instruments: mefor afor mesrh asrh maxedu y93 lny93 heny93 sdy93
hby93 hny93
gxy93 gzy93 city93 suby93 towy93 drainq1 drainq2
drainq3
drainq4 drainqland1 drainqland2 drainqland3
drainqland4 dsunq1
dsunq2 dsunq3 dsunq4 dsunqland1 dsunqland2 dsunqland3
dsunqland4 drainqvill1 drainqvill2 drainqvill3
drainqvill4
dsunqvill1 dsunqvill2 dsunqvill3 dsunqvill4
overidxt
Test of overidentifying restrictions: 17.241 Chi-sq(14) P-value =
.2436
ivreg2 ddprome2 dmefor dafor dmesrh dasrh dmaxedu /*
> */ dy93 dlny93 dheny93 dsdy93 dhby93 dhny93 dgxy93 dgzy93 dcity93
dsuby93 dto wy93 /*
> */ (dlnpcdef= ddrainq1-ddrainq4 ddrainqland1-ddrainqland4 /*
> */ ddsunq1-ddsunq4 ddsunqland1-ddsunqland4 /*
> */ ddrainqvill1-ddrainqvill4 ddsunqvill1-ddsunqvill4)
Instrumental variables (2SLS) regression
----------------------------------------
Number of obs =
269
F( 16, 238) =
1.84
Prob > F =
0.0268
Total (centered) SS = 25.45874667 Centered R2 =
0.0293
Total (uncentered) SS = 25.84544851 Uncentered R2 =
0.0438
Residual SS = 24.71404235 Root MSE =
.303107
----------------------------------------------------------------------
--------
ddprome2 | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+--------------------------------------------------------
--------
dlnpcdef | -.0829732 .0559599 -1.48 0.138 -.1926526
.0267063
dmefor | .014233 .0215103 0.66 0.508 -.0279264
.0563924
dafor | -.0363992 .0348193 -1.05 0.296 -.1046438
.0318453
dmesrh | -.0880035 .0323758 -2.72
0.007 -.151459 -.0245481
dasrh | .1225671 .045691 2.68 0.007 .0330144
.2121199
dmaxedu | .0141301 .0168717 0.84 0.402 -.0189378
.0471981
dy93 | (dropped)
dlny93 | .137499 .0898237 1.53 0.126 -.0385522
.3135502
dheny93 | -.0247196 .0983082 -0.25 0.801 -.2174001
.1679609
dsdy93 | -.1033525 .0909493 -1.14 0.256 -.2816099
.0749049
dhby93 | -.1834473 .0895498 -2.05
0.041 -.3589616 -.0079329
dhny93 | -.0731059 .0989549 -0.74 0.460 -.267054
.1208421
dgxy93 | -.0030924 .0704841 -0.04 0.965 -.1412387
.1350539
dgzy93 | -.0967301 .0737825 -1.31 0.190 -.2413411
.0478809
dcity93 | .026772 .0482703 0.55 0.579 -.067836
.12138
dsuby93 | -.0511917 .0615455 -0.83 0.406 -.1718186
.0694352
dtowy93 | .0035864 .0512939 0.07 0.944 -.0969478
.1041205
_cons | -.0033069 .0607871 -0.05 0.957 -.1224474
.1158336
----------------------------------------------------------------------
--------
Sargan statistic (overidentification test of all instruments):
5.456
Chi-sq(14) P-val =
0.97839
----------------------------------------------------------------------
--------
Collinearities detected among instruments: 10 instrument(s) dropped
Instrumented: dlnpcdef
Instruments: dmefor dafor dmesrh dasrh dmaxedu dy93 dlny93 dheny93
dsdy93
dhby93 dhny93 dgxy93 dgzy93 dcity93 dsuby93 dtowy93
ddrainq1
ddrainq2 ddrainq3 ddrainq4 ddrainqland1 ddrainqland2
ddrainqland3 ddrainqland4 ddsunq1 ddsunq2 ddsunq3
ddsunq4
ddsunqland1 ddsunqland2 ddsunqland3 ddsunqland4
ddrainqvill1
ddrainqvill2 ddrainqvill3 ddrainqvill4 ddsunqvill1
ddsunqvill2
ddsunqvill3 ddsunqvill4
----------------------------------------------------------------------
--------
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