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st: ivreg2 & sort
Dear All,
I'm using XP, version 9.2, and the latest version of ivreg2. As
evidenced by the results below, when I change the sort order of my data,
I am getting slightly different results. Any explanations?
Thanks,
Dann
log: c:\tmp.log
log type: text
opened on: 13 Jul 2006, 13:45:07
. g u=uniform()
. sort u
. ivreg2 e3pcl dum97 kl1 kl12 kl1i1 i1 i12 (trade2 tr2kl1 tr2kl12 tr2i1
tr2i12 = trade2h tr2i1h tr2i1h2 tr2kl1h tr2kl1h2) teicd
Instrumental variables (2SLS) regression
----------------------------------------
Number of obs =
96
F( 12, 83) =
16.08
Prob > F =
0.0000
Total (centered) SS = 35.22629964 Centered R2 =
0.6941
Total (uncentered) SS = 7939.128731 Uncentered R2 =
0.9986
Residual SS = 10.77670933 Root MSE =
.335
------------------------------------------------------------------------
------
e3pcl | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------
------
trade2 | -.7432208 .5040607 -1.47 0.140 -1.731162
.24472
tr2kl1 | -1.19757 1.189741 -1.01 0.314 -3.529419
1.134279
tr2kl12 | 1.945117 2.778457 0.70 0.484 -3.500559
7.390794
tr2i1 | 3.487961 5.803636 0.60 0.548 -7.886958
14.86288
tr2i12 | 3.877568 14.32855 0.27 0.787 -24.20587
31.961
dum97 | .1387204 .1369309 1.01 0.311 -.1296593
.4071
kl1 | .1138578 11.45822 0.01 0.992 -22.34384
22.57156
kl12 | -.0042718 .6687348 -0.01 0.995 -1.314968
1.306424
kl1i1 | .1161664 1.151198 0.10 0.920 -2.140141
2.372474
i1 | 19.82222 78.54378 0.25 0.801 -134.1207
173.7652
i12 | -1.082534 3.972353 -0.27 0.785 -8.868202
6.703135
teicd | -.1607036 .0348189 -4.62 0.000 -.2289474
-.0924597
_cons | -99.18562 388.1661 -0.26 0.798 -859.9772
661.606
------------------------------------------------------------------------
------
Anderson canon. corr. LR statistic (identification/IV relevance test):
14.211
Chi-sq(1) P-val =
0.0002
------------------------------------------------------------------------
------
Sargan statistic (overidentification test of all instruments):
0.000
(equation exactly
identified)
------------------------------------------------------------------------
------
Instrumented: trade2 tr2kl1 tr2kl12 tr2i1 tr2i12
Included instruments: dum97 kl1 kl12 kl1i1 i1 i12 teicd
Excluded instruments: trade2h tr2i1h tr2i1h2 tr2kl1h tr2kl1h2
------------------------------------------------------------------------
------
. replace u=uniform()
(1247 real changes made)
. sort u
. ivreg2 e3pcl dum97 kl1 kl12 kl1i1 i1 i12 (trade2 tr2kl1 tr2kl12 tr2i1
tr2i12 = trade2h tr2i1h tr2i1h2 tr2kl1h tr2kl1h2) teicd
Instrumental variables (2SLS) regression
----------------------------------------
Number of obs =
96
F( 12, 83) =
16.16
Prob > F =
0.0000
Total (centered) SS = 35.22629964 Centered R2 =
0.6955
Total (uncentered) SS = 7939.128731 Uncentered R2 =
0.9986
Residual SS = 10.72499924 Root MSE =
.3342
------------------------------------------------------------------------
------
e3pcl | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------
------
trade2 | -.733174 .5028499 -1.46 0.145 -1.718742
.2523937
tr2kl1 | -1.202465 1.186883 -1.01 0.311 -3.528713
1.123783
tr2kl12 | 1.934048 2.771783 0.70 0.485 -3.498548
7.366643
tr2i1 | 3.237612 5.789697 0.56 0.576 -8.109985
14.58521
tr2i12 | 4.601008 14.29413 0.32 0.748 -23.41498
32.61699
dum97 | .1339733 .136602 0.98 0.327 -.1337618
.4017083
kl1 | .1100066 11.4307 0.01 0.992 -22.29375
22.51376
kl12 | .0011364 .6671284 0.00 0.999 -1.306411
1.308684
kl1i1 | .1157626 1.148433 0.10 0.920 -2.135125
2.36665
i1 | 24.10078 78.35514 0.31 0.758 -129.4725
177.674
i12 | -1.298903 3.962812 -0.33 0.743 -9.065873
6.468066
teicd | -.1609192 .0347353 -4.63 0.000 -.2289992
-.0928393
_cons | -120.3281 387.2339 -0.31 0.756 -879.2925
638.6363
------------------------------------------------------------------------
------
Anderson canon. corr. LR statistic (identification/IV relevance test):
14.198
Chi-sq(1) P-val =
0.0002
------------------------------------------------------------------------
------
Sargan statistic (overidentification test of all instruments):
0.000
(equation exactly
identified)
------------------------------------------------------------------------
------
Instrumented: trade2 tr2kl1 tr2kl12 tr2i1 tr2i12
Included instruments: dum97 kl1 kl12 kl1i1 i1 i12 teicd
Excluded instruments: trade2h tr2i1h tr2i1h2 tr2kl1h tr2kl1h2
------------------------------------------------------------------------
------
****************************************************
Daniel L. Millimet, Associate Professor
Department of Economics
Box 0496
SMU
Dallas, TX USA
phone: 214.768.3269
fax: 214.768.1821
web: http://faculty.smu.edu/millimet
****************************************************
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