st: RE: RE: ivreg2 with weight: results slightly different to those 3 months ago

[Christopher F Baum <baum@bc.edu>]

<>
Steve said

I have been re-running a do file that I last ran in July and I have been
getting slightly different results for most parts of the regression output
when using -ivreg2- with weights (-ivreg2- without weights generates
identical results).  For example, the Kleibergen-Paap rk LM statistic and
Kleibergen-Paap Wald rk F statistic are the same as they were in July but
most of the output changes slightly (including the regression coefficients).

I am now using:

. which ivreg2
c:\ado\plus\i\ivreg2.ado
*! ivreg2 3.0.05  17June2010

I guess that I must have updated the ado file sometime between July and now
because today's log file includes Angrist-Pischke (AP) statistics but the
July log file does not (it first reports Shea's Partial R2).  I do not know
which version of ivreg2 I was using previously.  Sorry!

In both cases I am estimating the same model:

ivreg2 lallcancersdsmr lneed89HPandG (lg2_89expphHPandG=llonepenhx
lpoppucarx) [w=rawpop89], gmm2s robust ffirst endog(lg2_89expphHPandG)

Have changes been made to -ivreg2- (perhaps fairly recently) which would
account for this?



The most recent versions of ivreg2 (as you can see from the log Nick referenced) make use of Mata for computation of the coefficients and standard errors. Although Mata is very efficient, it is not as numerically stable (at least the way we have implemented it) as Stata's regress. Differences between code using regress and code using Mata arise when the data are quite ill-conditioned, as a user who corresponded with us found. However, we did not find that -ivreg2- with Mata performed worse than -ivregress-, which also uses Mata, and also had some discrepancies with -ivreg- (which uses -regress-). Unless there are severe conditioning issues, I would not expect that -ivreg2- and -ivreg29- (which does not use Mata) would yield noticeably different results. If there are significant conditioning issues, you might want to address them.

Kit Baum
coauthor ivreg2



Kit Baum   |   Boston College Economics and 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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