Dear Statalisters,
I am trying to estimate the following model with the help of the
ivregress 2sls command.
"ivregress 2sls tobinsq capextosales debttoassets rndtosales
(cr5 = netincome5yr marketcap beta propertyrights), first"
However, if i "manualy" estimate the 2sls model by:
"regress cr5 netincome5yr marketcap beta propertyrights
predict cr5_est
regress tobinsq cr5_est capextosales debttoassets rndtosales"
I reveive slightly different results.
I am even more puzzled that when using the ivregress 2sls command in
the First Stage regression automatically ALL used variables are
included, not just the ones specified in the brackets (allthough I
dont want that?)
Where is my mistake?
Below you find the Results of both estimations
"ivregress 2sls tobinsq capextosales debttoassets rndtosales
(cr5 = netincome5yr marketcap beta propertyrights), first"
First-stage regressions
Number of obs = 736
F( 7, 728) = 8.48
Prob > F = 0.0000
R-squared = 0.0754
Adj R-squared = 0.0665
Root MSE = 20.2763
cr5 Coef. Std. Err. t P>t [95% Conf. Interval]
capextosales .115936 .0680177 1.70 0.089 -.0175982 .2494703
debttoassets -.0465086 .0470884 -0.99 0.324 -.1389538 .0459366
rndtosales -.2852332 .1662676 -1.72 0.087 -.6116544 .0411879
netincome5yr -.0013242 .0004404 -3.01 0.003 -.0021887
-.0004597
marketcap -3.62e-06 7.87e-07 -4.61 0.000 -5.17e-06 -2.08e-06
beta -7.296444 1.905024 -3.83 0.000 -11.03644 -3.556448
propertyri~s -.2005358 .0681679 -2.94 0.003 -.3343649 -.0667067
_cons 62.3268 5.991164 10.40 0.000 50.56478 74.08882
Instrumental variables (2SLS) regression Number of obs = 736
Wald chi2(4) = 71.21
Prob > chi2 = 0.0000
R-squared = .
Root MSE = .9057
tobinsq Coef. Std. Err. z P>z [95% Conf. Interval]
cr5 -.0160655 .0060373 -2.66 0.008 -.0278984 -.0042325
capextosales .0086722 .0030052 2.89 0.004 .0027821 .0145623
debttoassets -.0119467 .0020976 -5.70 0.000 -.0160579 -.0078355
rndtosales .0302816 .0076401 3.96 0.000 .0153074 .0452559
_cons 1.786574 .2357556 7.58 0.000 1.324502 2.248647
Instrumented: cr5
Instruments: capextosales debttoassets rndtosales netincome5yr marketcap
beta propertyrights
"regress cr5 netincome5yr marketcap beta propertyrights
predict cr5_est
regress tobinsq cr5_est capextosales debttoassets rndtosales"
. regress cr5 netincome5yr marketcap beta propertyrights
Source | SS df MS Number of obs = 1832
-------------+------------------------------ F( 4, 1827) = 41.11
Model | 176575.35 4 44143.8376 Prob > F = 0.0000
Residual | 1961834.11 1827 1073.80083 R-squared = 0.0826
-------------+------------------------------ Adj R-squared = 0.0806
Total | 2138409.46 1831 1167.89157 Root MSE = 32.769
------------------------------------------------------------------------------
cr5 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
netincome5yr | -.0021707 .000593 -3.66 0.000 -.0033338 -.0010075
marketcap | -6.14e-06 1.10e-06 -5.59 0.000 -8.30e-06 -3.99e-06
beta | -8.37647 1.723757 -4.86 0.000 -11.75721 -4.995729
propertyri~s | -.4999151 .0557635 -8.96 0.000 -.6092821 -.3905482
_cons | 91.66744 4.600183 19.93 0.000 82.64527 100.6896
------------------------------------------------------------------------------
.
. predict cr5_est
(option xb assumed; fitted values)
(289 missing values generated)
.
. regress tobinsq cr5_est capextosales debttoassets rndtosales
Source | SS df MS Number of obs = 741
-------------+------------------------------ F( 4, 736) = 22.93
Model | 65.8800181 4 16.4700045 Prob > F = 0.0000
Residual | 528.556382 736 .718147259 R-squared = 0.1108
-------------+------------------------------ Adj R-squared = 0.1060
Total | 594.4364 740 .803292433 Root MSE = .84744
------------------------------------------------------------------------------
tobinsq | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
cr5_est | -.0142285 .003345 -4.25 0.000 -.0207954 -.0076616
capextosales | .0071401 .0027939 2.56 0.011 .0016551 .0126251
debttoassets | -.0112407 .0019551 -5.75 0.000 -.015079 -.0074024
rndtosales | .0341779 .0069125 4.94 0.000 .0206074 .0477484
_cons | 1.760613 .148781 11.83 0.000 1.468527 2.052698
------------------------------------------------------------------------------
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