Marcello/Minyen,
The regression being estimated is exactly identified, so the parameter
estimates of feasible GMM (implemented by ivgmm0 and ivreg2, gmm) and
simple IV coincide, or are supposed to at any rate. (LIML should also
give the same parameters if the equation is exactly identified.)
Try estimating with Stata's built-in ivreg, and the coefficient estimates
it reports should match one or the other. (I think they'll match
-ivreg2-, because I recently spent some time on the programming involved
in a similar special case.)
--Mark
Quoting Marcello Pagano <[email protected]>:
> Minyen is having trouble posting this message:
>
>
> Hi
>
> I can't reconcile the difference in the coefficients I am getting in
> the
> two programs. I am using what I have just installed to STATA.
>
> Minyen
>
> .ivgmm0 y (x=lfe) , nocon
> x | .5978652 .0698856 8.55 0.000 .4608919
> .7348385
>
> . ivreg2 y (x=lfe) , gmm nocon
> x | .4330467 .2106386 2.06 0.040 .0202026
> .8458908
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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