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Re: st: STATA CODE INFO.: ivreg2 & ivregress
From
Bond Tiger <[email protected]>
To
[email protected]
Subject
Re: st: STATA CODE INFO.: ivreg2 & ivregress
Date
Mon, 19 Jul 2010 07:18:20 -0700 (PDT)
Thank you so much. That is really helpful. I appreciate your help.
Regards,
Bond
----- Original Message ----
From: Christopher Baum <[email protected]>
To: "[email protected]" <[email protected]>
Sent: Mon, July 19, 2010 5:59:31 AM
Subject: Re: st: STATA CODE INFO.: ivreg2 & ivregress
<>
On Jul 19, 2010, at 2:33 AM, Bond wrote:
> I would like to know whether there is any difference between the following
>codes
> or both the codes perform same task.......
>
> (1) ....ivreg2, gmm2s and ....ivregress, gmm.
> (2) ....ivreg2, cue and ......ivregress, igmm
>
> I think both the codes in (1) are performing the same task of instrumental
> variable two-step GMM estimation and codes in (2) are performing the same task
> of instrumental variable iterative GMM estimation.
>
> Please correct me, if I am wrong.
Re (1): you are right.
Re (2): you are wrong. GMM-CUE of Hansen, Heaton, Yaron is not the same iterated
GMM estimator as that included in official -ivregress-. They are both valid
estimators, but they use different criteria for the iterative technique.
Kit
coauthor of -ivreg2-
Kit Baum | Boston College Economics & DIW Berlin |
http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming |
http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata |
http://www.stata-press.com/books/imeus.html
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