Min,
Date sent: Tue, 16 Mar 2004 10:06:37 -0500
Subject: Re: st: Differences in results for ivreg2 and ivgmm0
To: [email protected]
From: "Min Y. Tan" <[email protected]>
Send reply to: [email protected]
> Hi Mark,
> I have reestimated using ivreg, it gives me the same result as ivreg2.
> In this case of exact identification, why would ivgmm0 produce different
> results?
I think this might be a bug in the version of ivgmm0 that you are
using. You are estimating a rather special case from a programming
point of view, namely one explanatory variable that is endogenous and
no exogenous regressors - not even a constant. If you add a
constant, you might find all three agree. Also, do you have the most
recent version of ivgmm0? Try updating it and see what happens.
> Just a clarifying programming question of ivreg2: If I want to estimate the
> following model: dum * fe-square - alpha fe-square = error; and my instruments
> is lag fe; the objective is to estimate alpha by minimizing the error term. how
> would I program this in ivreg2 using gmm?
To be honest, I'm not sure what you are trying to estimate here. I
guess you want to minimize the *squared* error, no? Is your
instrument lagged fe or lagged fe-square? Etc.
But the answer to your question may be short and less than ideal from
your perspective. -ivreg2- estimates linear models. If you can
express your model in linear terms, then you can use -ivreg2-. If
you can't, you'll have to use some other program or do the
programming yourself. Sorry about that!
Best wishes,
Mark
> I have programmed it in SAS but SAS
> does not allow for cluster analysis which ivreg2 has.
> minyen
>
> Min, Have a look at my previous posting: > 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.) You report the output of
> -ivreg2- and -ivgmm0-. What is reported by Stata's official -ivreg- with the
> -robust- option? I.e., ivreg y (x=lfe), robust nocon --Mark
>
> *
> * 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 E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
*
* 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/
