Giulio,
ivreg uses a small sample adjustment while ivreg2 does not. ivreg2 with the
small option will replicate the standard errors from ivreg. This is all
discussed at great length in the help file for ivreg2.
Cheers,
Steve (ivreg2 co-author).
-----Original Message-----
From: [email protected]
[mailto:[email protected]]On Behalf Of
[email protected]
Sent: Tuesday, 28 August 2007 11:03 p.m.
To: [email protected]
Subject: st: ivreg vs. ivreg2 standard errors
It appears that ivreg and ivreg2 compute standard errors in a different
way.
Those reported by ivreg are consistent with what other packages (e.g.
RATS) compute, so I wonder how standard errors are computed by ivreg2.
Any hint would be appreciated.
Thanks in advance.
Giulio Zanella
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